in bond markets. Asset purchase policies are not without side effects, though, as the induced scarcity has an adverse … impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

kernel-based methods discussed in Giraitis et al. (2018), but relying on the estimation approach put forward in Morf et al …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … United States. Our empirical results suggest that the current environment of very low nominal sovereign bond yields, is a …

estimation. The testing results indicate that the inflation rate has a negative effect on bond returns across different …This study examines the impacts of the US inflation rate on the bond prices of G7 countries across different maturities … using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …

least as well off. Optimal liquidity is found to be consistent with the existence of bubbles in stock and bond markets under … simple exchange economy with three types of agents: regular stockholders, arbitrageurs and liquidity providers. Regular … increased stock volatility created by arbitrageurs with access to credit lines. Arbitrageurs and liquidity providers are at …

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … significantly and positively future monthly Treasury bond excess returns. This forecastability remains significant controlling for … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting … regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia … the path of rates, our factor has predictive ability for real bond excess returns. The importance of the gap remains …

UK government bond yields rise significantly in a two-day window before Monetary Policy Committee (MPC) meetings, with … coincide with issuance of UK government bonds. Analysing granular transaction-level data surrounding bond issuance, we find … risk-bearing capacity. Interestingly, we find significant changes in the composition of liquidity providers: hedge funds …

, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential … pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible … segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important …