We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly … predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in … factors. Finally, correlations between international bond risk premia have increased over time, suggesting an increase in …

We document the existence of a global monetary policy factor in sovereign bond yields, related to the size of the … of expanding fiscal deficits on global bond yields, driving them to even lower levels. Our findings have important policy … increases in sovereign bond yields globally, widening spreads and currency depreciations of vulnerable sovereigns with severe …

The endeavor to understand bond returns and the term structure of interest rates has generated an extensive literature … perspective. This chapter reviews the relevant literature while also providing empirical evidence on international bond risk …

This paper revisits the study of time-varying excess bond returns in international bond markets. Using newly available … the predictability of excess bond returns …

portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … financial risk causes a large and persistent widening of sovereign bond spreads. These effects are strongest when measuring … global risk using the excess bond premium, which is a measure of the risk-bearing capacity of US financial intermediaries …

-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 …

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