Does leverage drive investor flows in bond mutual funds? Leverage can increase fund returns in good times, but it can … also magnify investors' losses and their response to bad performance. We study bond fund flows to provide new evidence for … findings suggest that leverage amplifies fragility in the bond mutual fund sector …

Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

European and Emerging Market equity funds and out of bond funds …

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 …

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … sovereign bond portfolios of the major European banks. First, we capture the dependence structure of European countries … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …

Japanese yen bond markets. The reference returns result from a regime-switching Nelson-Siegel yield curve model following …

-end equity and bond funds. First, we employ a Bayesian technique to project the impact of macro-financial scenarios on country … management (AUM) of 24% and 5%, for euro area-domiciled equity and bond funds respectively, largely driven by valuation effects …, we estimate that 5.8% and 0.5% of euro area-domiciled equity and bond funds respectively could go into liquidation. Such …