and nominal bond risks in the presence of risk-averse investors. In our model, low credibility governments inflate during …. We provide empirical support for this mechanism, showing that countries with higher nominal bond-stock betas have … significantly larger nominal bond risk premia and borrow less in local currency …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …

We study the link between the choice of rule-based public contracts and political hazards using the municipal bond … that includes 6,500 bond issuances nationwide as well as election data on over 400 cities over 20 years. We provide … as a revenue bond by 3-15% and the probability of issuing bonds through competitive bids by 7%. We test a few additional …

an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn …