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 …

-based structure. Liquidity conditions for EFSF bonds in the secondary market are different from those of large sovereign bond issuers …, which affects bond pricing. This paper offers the first study of the term structure of EFSF bond yields and a decomposition …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …

, a time-varying coefficient model is introduced and applied to German bond data. The results support the theoretical …

. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically …, bond rates have been persistently negative after the Lehman-Brothers collapse. To explain this paradox, we suggest that, in …, this rise in perceived market fragility alone can explain the drop in both bond rates and price-dividend ratios observed …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal …