captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state … variables: the dividend yield, two factors driving the one-period real interest rate and the rate of inflation. The model …

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 …

estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic …

This paper investigates to what extent yield spreads on bonds issued by sub-sovereign entities within federations are …

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

We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The … the short-end of the yield curve, associated with the monetary policy reaction, lasting between 6 and 8 quarters, and (ii …) an immediate response of the long-end of the yield curve, lasting 3 years, with an implied elasticity of about 80% for …

This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis … debt ratios relative to Germany contributed to higher government bond yield spreads in the euro area during the analysed …

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we … markets. The results allow us to quantify the price impact of so-called “safe haven flows”, which strongly affected bond …

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large …