Market-based measures of inflation expectations can be derived either from the difference between yields on nominal and inflation-linked government bonds or from inflation swap rates. These measures are important indicators of the outlook for inflation and are monitored regularly by the United...

Using security-level data, we analyse the effects of the Bank of England's multiple rounds of gilt purchases (aka Quantitative Easing, QE) and its Corporate Bond Purchase Scheme (aka Credit Easing, CE) on corporate bond prices and issuance. This allows direct estimation of (i) QE's cross-asset...

We assess the impact of institutional investors' demand for gilts on UK real rates by structurally estimating the model of Vayanos and Vila (2009). We therefore include those investors believed to display inelastic demand for gilts and preferences for longer-term maturities. The estimated model...

This study investigates the systematic risk factors driving emerging market (EM) credit risk by jointly modelling sovereign and corporate credit spreads at a global level. We use a multi-regional Bayesian panel VAR model, with time-varying betas and multivariate stochastic volatility. This model...