This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

We study the response of bond spreads to a liquidity supply shock in the credit default swap (CDS) market. Our … transactions and bond portfolio holdings of German investors. Following the shock, CDS market liquidity declines and bond spreads … a mechanism: as CDS insurance on their bond holdings becomes costlier, investors offload the bonds. Our results …

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could …-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging …

corporate bond market without trade transparency (Germany), and comparing our findings to a market with full posttrade … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third …

in bond markets. Asset purchase policies are not without side effects, though, as the induced scarcity has an adverse …

In the context of the German regional government bond market, this paper studies the hypothesis that governments use … banks' state bond portfolio on the security- and bank-level for the time period Q4:2005-Q2:2014. Results show that home … alternative incentives for banks' (home) state bond holdings such as risk-shifting by banks, lending opportunities or information …

economic activity. Investigating intraday T-bond futures price responses to surprises in scheduled macroeconomic releases, this …