This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk …-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

banks had a large impact on exposed bonds’ liquidity. Moreover, based on these ties, we show that bond mutual fund panic …

cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

finds that, regardless of the prevailing set-up of the federal system, sub-sovereign debt levels relative to GDP and global … shows that the positive link between debt and risk premia tends to break down when sub-sovereign government debt rises above …

We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector …, led to a temporary 7 basis-point decline in sovereign bond yields on the day of purchase. This impact estimate is well …

, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the …This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information … the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …

-à-vis domestic bonds. This paper studies the effect of this jurisdiction choice on bond prices. We test whether foreign-law bonds …

We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …) segmentation (convenience) premium. Identification is achieved by considering sovereign bond yields jointly with other rates …, including sovereign credit default swap spreads with and without redenomination as a credit event feature. We apply our …