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 …

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 …

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

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

the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

Programme and sovereign bond quotes to address the endogeneity issues. We propose an econometric model that considers … interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

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 …

abroad, including inflow of capital to local sovereign bond markets and an increase in international comovement of term …