debt markets. We use unit record data for bond issuance by non-government residents of Australia, Hong Kong, Korea, Japan …-rated or longer-maturity bonds. These bond characteristics tend to be correlated with offshore bond market size. The results …

credit default swap (CDS) and bond markets only when the CDS-bond basis exceeds a certain threshold. This threshold effect is … explain the persistent non-zero CDS-bond basis in euro area sovereign debt markets and its increase during the last sovereign …

This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor … relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios …-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping …

comprised of unhedged risk-free bonds in different countries. In general, the total return arising from holding an unhedged bond … portfolio is comprised of two components. One component of the return arises from the bond price changes resulting from yield … curve movements and the other component arises from exchange rate fluctuations. In this paper, bond price changes are …

market, private benchmarks long ago displaced government benchmarks. In the bond markets, evidence from organised exchanges … government bond futures to private interest rate swaps. The global financial crisis seems only to have interrupted this process … in the US dollar bond market, the European sovereign bond strains may have accelerated it in the euro bond market; and …

Using a novel database on capital flow measures in Asia over 2004−2013, we investigate the impact of bond inflow … measures on the cross-market correlations of weekly bond fund flows and of daily bond returns in 12 Asia-Pacific economies …, after controlling for global, regional and local factors. We find that a bond inflow measure taken by a country tends to …

We document significant US monetary policy (MP) spillovers to international bond markets. Our methodology identifies US … effects on international bond yields using panel regressions. We emphasize three main results. First, US MP spillovers to long … bond yields through movements in term premia. Our results suggest that the endogenous effects of FXI on long-term yields …

In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for … rate. Our findings highlight endogenous co-movement of bond risk premia and exchange rates through the portfolio choice of …