expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS … spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …

Are government bond risk premia affected by TV news in addition to the effect of the original event reported? We … news affects bond spreads. A one percentage point increase in the share of Eurozone related news leads to -7.6 basis points … share of positive Eurozone related news leads to -69.7 basis points lower bond spreads, whereas a one percentage point …

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … to identify over 25,000 news on the Eurozone and country-specific economic topics. Our findings emphasize the relevance …

, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to … quality" to this sum, we define the flight to quality as a factor which has caused German bond yields and crisis country bond …

Recent findings on the term structure of equity and bond yields pose serious challenges to existing equilibrium asset … pricing models. This paper presents a new equilibrium model to explain the joint historical dynamics of equity and bond yields … (and their yield spreads). Equity/bond yields movements are mainly driven by subjective dividend/GDP growth expectation …

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …

bonds with higher collateral haircuts. The importance of collateral haircuts on bond yields remains robust after controlling …