-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 … of the EFSF curve and the swap curve allows to further identify the liquidity and credit components of both yield curves …

, a time-varying coefficient model is introduced and applied to German bond data. The results support the theoretical … predictions and indicate substantial time variation: under high risk aversion, yield spreads react about three times more strongly …

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal … yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity … about inflation and growth. Ambiguity can help resolve the puzzling fact that upward-sloping yield curves have persisted …

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 …

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

. 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 …

model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and …We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … structure and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating the …

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …, dividend ratio model, yield curve and term structure, all of which are concepts used to analyse pricing and other behaviour in …