coefficients, we find that positive skewness generally exerts a dominant influence. Employing Panel Cointegration Techniques, we … show that greater skewness is associated with higher sovereign bond yields and higher short-term interest rates, whether … measured in face or market value. In contrast, an increase in debt concentration tends to reduce both sovereign bond yields and …

Historical events are reflected in asset prices. In this paper, we analyse government bond prices of Germany and … government bond prices. This holds, in particular, for the official outbreak of the war and the loss and gain of national … sovereignty. Other events to which historians attach great importance are not reflected in bond prices: The most prominent example …

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a …-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative … inefficiency of the green bond market is generally found to be very similar to that of benchmark bond markets such as treasury bond … green bond markets are very similar to those in the benchmark bond markets. In other words, fundamental factors that drive …

interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island …

is argued that in a cointegration framework it is reasonable to define hysteresis as the absence of weak exogeneity of …

This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into … account both bond and issuing bank's characteristics, and also considers the role of country−specific CoCo bond market … competitiveness. Buyers are found to be characterised by stronger preference responses to CoCo bond coupons and credit ratings, while …

little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two …