Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...

The green bond market is emerging as an impactful financing mechanism in climate change mitigation efforts. The effectiveness of the financial market for this transition to a low-carbon economy depends on attracting investors and removing financial market roadblocks. This paper investigates the...

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...

This paper discusses the current developments and adoption of financial instruments designed to support the efforts of governments and corporations in decarbonizing their activities. Particular focus is given to the role of Green Bonds, a debt-like financial instrument whose proceeds are used to...

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all...

We estimate the short-run reactions of bond spreads of selected EU member states vis-à-vis the German bund on fiscal announcements from January 2000 till December 2019. To avoid selection bias, the announcements are scrapped from the Factiva database, and then, depending on their tone, they are...

Africa’s sovereign debt markets are not well understood, partly due to a lack of data. This paper introduces the Africa Debt Database (ADD), the most granular and comprehensive dataset on external borrowing by African governments thus far. Our project moves beyond existing aggregate datasets...

This paper analyzes a new stylized fact: The correlation between uncertainty shocks and changes in inflation expectations has declined and turned negative over the past quarter century. It rationalizes this fact within a standard New Keynesian model with a lower bound on interest rates combined...

Investor concerns about climate and other environmental regulatory risks suggest that these risks should affect corporate bond risk assessment and pricing. We test this hypothesis and find that firms with poor environmental profiles or high carbon footprints tend to have lower credit ratings and...

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to...

The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies the quantile regression technique. The study findings...

We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels - risky firms just above the IG rating cutoff-enjoyed subsidized bond financing since 2009, especially when the scale of QE purchases peaked...

This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector...

The use of the cloud to store personal/company data and to run programs is gaining wide acceptance as it is more efficient and cost-effective. However, cloud services may not always be available, which could lead to losses for customers and the cloud provider (the provider is typically obligated...

This paper explores the effect of a firm's reputation of being a green bond issuer on its financing costs. Using a sample of 73 listed Swedish real estate companies issuing in total about 1500 bonds over the period from 2011 till 2021, differencein- difference analyses and instrumental variable...

We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the discount curve. They are investable portfolios...

This paper examines the volatility spill-over of green bonds with renewable energy and the crypto market using daily data extending from 1 October, 2015 to 24 February, 2022. The proxy for the green bonds is S&P Green Bond Index, while renewable energy is measured by MAC global solar energy...

This study examines the performance of corporate sustainable bonds. Unlike traditional bonds, the proceeds of sustainable bonds are utilized for financing projects to bring about environmental and socio-economic benefits. First, we analyse the market reaction to traditional and sustainable bond...

The traditional approach to bond portfolio immunization usually assumes that the possible future changes of the term structure of interest rates lie within a suitable parametric class of functions. The quantities of interest are the sensitivities of the portfolio value with respect to these...

This paper analyzes the characteristics of African green and non-green bonds using propensity score matching. Based on a sample of 73 green and of about 1500 non-green bonds we find that in major characteristics these two types of bonds appear to be quite similar. However, the treatment effects...

Green bonds represent an important financial instrument for the allocation of financial resources towards a more climate-friendly and sustainable economy. This research evaluates and compares the financial performance of portfolios of green bonds, conventional bonds and black bonds issued on the...