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

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 …

-cyclical bias that has hampered its implementation in the low-growth low-inflation environment. We propose two parametric changes to … deviations of inflation from the central bank's objective; and, second, a reduced speed of adjustment. Putting a reformed debt …

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 … so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging …

from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in … 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 …

-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an …

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

Using large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area … through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry …, holdings of ‘buy-and-hold’ bond investors are large in aggregate but small for weaker issuers. Nevertheless, the bond investors …