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 …

above which the sovereign bond market moves to a crisis regime. We show that the threshold to a crisis regime for Italy and … amount to 120-130 basis points or (iii) the 5-year spread between the Kreditanstalt für Wiederaufbau (KfW) bond and the …

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

subordinated bond yield spreads over senior unsecured bonds, and links the bond yields developments with the characteristics of the … play a key role in explaining bond spreads. Interestingly, after the introduction of the new bail-in framework, there is a … convergence between the bond yields of the GSIBs and the non-GSIBs, which could point out to a reduction in the market perception …