In response to the scarce evidence regarding herd behaviour in emerging and frontier debt markets, this paper investigates the potential mispricing of MENA sovereign risk. We explore whether this mispricing results from international investor herding, where MENA debt assets are collectively...

This study estimates the zero-coupon yield curves for Turkish government nominal bonds from February 2005 to June 2022 using the Nelson-Siegel-Svensson parametric model. We implement a weighting scheme in the objective function, where squared pricing errors are weighted by the inverse of the...

This study models a representative agent with generalized disappointment aversion preferences in an endowment economy. This model addresses the average upward slope in U.S. real bond yields, equity premium puzzle, and equity volatility puzzle. We integrate a two-state Markov switching process...

Based on data from Chinese corporate bonds issued between 2014 and 2023, this study examines how ESG rating disagreement affects credit spreads. The results indicate that such disagreement significantly increases spreads through financial risk and information asymmetry channels, though this...

This paper uses a tractable stochastic integrated‐assessment model to analyze the influence of climate change on asset returns across time and maturity. Quasi‐analytical, or recursive, formulas allow to price various long‐dated assets, including fixed‐income products, derivatives, and...

This paper examines the role of long-run and cyclical components of interest rate differentials in explaining the returns to currency carry strategies. We show that long-run differentials account for most of the profitability, while cyclical differentials play only a limited role. A simple...

This paper investigates the long-horizon predictive variance of an international bond strategy where a U.S. investor holds unhedged positions in constant-maturity long-term foreign bonds funded at domestic short-term interest rates. Using over two centuries of data from major economies, the...

In this study, we investigate the relationship between implied equity volatility (VIX) and corporate bond spreads, covering both investment-grade and high-yield sectors. Our dataset spans three significant periods of recent volatility: the 2008/09 financial crisis, the COVID-19 pandemic, and the...

This paper investigates how global uncertainty and macro-financial shocks transmitted to BRICS+ equity markets between April 2016 and July 2025. A vector autoregressive (VAR) framework, complemented by Granger-causality tests, variance decompositions, and impulse response functions, is employed...

This paper examines whether firm-specific cyclical and idiosyncratic risk profiles influence corporate bond spreads and the transmission of monetary policy. I extend the standard excess bond premium (EBP) framework of Gilchrist & Zakrajšek (2012) to allow investors' required compensation for...

Vector autoregressions (VARs) are popular for forecasting, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We examine reduced-form "shadow rate VARs" that model interest rates as censored observations of a latent shadow rate...

This study applies machine learning methods to predict the Canadian yield curve using a comprehensive set of macroeconomic variables. Lagged values of the yield curve and a wide array of Canadian and international macroeconomic variables are utilized across various machine learning models....

This study examines the dynamic and nonlinear effects of global interest rate (based on the G7 market) shocks on equity markets in BRICS countries. A World Interest Rate (WIR) index is constructed using principal component analysis of short-term interest rates from developed economies. The...

Based on an analysis of changes in the yields of German government bonds, we propose a simple model for the term structure of interest rates and show empirically that this model with two parameters (relating to the interest level and slope of the term structure) fits empirically well the data...

This paper attempts to resolve several intriguing observations. First, there is an unusually high correlation between the inflation-protected and nominal interest rates when the changes in the nominal interest rates are predominantly driven by inflationary pressure. This observation appears to...