credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either … separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along … found to be the cause of the risk spreads in certain cases, although a bidirectional relationship is predominant in many …

This paper explores a granular database from the Inter-American Development Bank (IDB) Green Bond Transparency Platform … reference yield curve can boost the private ESG bond market. Using a difference-in-differences (DID) approach, we empirically … bond issuances and a 25 percent increase in the number of ESG corporate bond issuances in the external markets after three …

economies that had not been seen in decades. This pushed up interest rates, which in turn led to higher yields in global bond … markets. This study examines two distinct channels that transmit advanced economy inflation to emerging market bond yields by … and contraction in emerging market bond yields. Second, the shortrun effect of advanced economy inflation on the bond …

This paper seeks to analyse the impact of government debt and other macroeconomic variables on the long term bond yield …-regressive distributed lag (ARDL) technique to estimate the determinants of the long-term bond yield. Our results show that the short … long term yield positively impact long term bond yields both in the short- and long-run. The rate of inflation, economic …

supports the Keynesian perspective. There is a positive association between long-term bond yields and the Canadian federal …

Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater … driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties … risk. Our results show evidence of US sovereign default-risk spillover into global interbank funding markets and that …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk …

payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk …-neutral investors and risk-free spot rates for the valuation. The expected payments include the potentiality of default by weighting … promised payments the risk-neutral default probabilities. The required risk-neutral default probabilities are derived from …

Using a 2009-2019 sample of Chinese bond issuers, we examine the effect of carbon risk on bond financing costs …. Relative to low carbon risk issuers, high carbon risk issuers have substantially larger bond credit spreads, mainly because … goals have renewed the focus on carbon risk. Carbon risk also causes bond issuers to scale back production and negatively …