Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...

Safe asset shortages can expose the economy to liquidity traps. The nature of these traps is determined by the cyclicality of the bond premium. Selfful filling liquidity traps are associated with a counter-cyclical bond premium. Small issuances of government debt crowd out private debt and...

Mobilizing private finance for renewable energy and energy efficiency is critical for the Association of Southeast Asian Nations (ASEAN) not only for the reduction of global temperature rise, but also for meeting fast growing energy demand. Two-thirds of green bonds issued in ASEAN countries...

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it largely explains why short rates and yield spreads predict...

Does leverage drive investor ows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors' losses and their response to bad performance. We study bond fund ows to provide new evidence for the link between mutual fund leverage and financial...

We propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it largely explains why short rates and yield spreads predict...

Social impact bonds (SIBs) are an innovative financing mechanism for public goods. In a SIB, an investor provides capital to a service provider for a social intervention. The investor receives a return based on the outcome of the intervention relative to a predetermined benchmark. We describe...

Green bonds (GBs) are a fresh and applicable financial instrument introduced with the purpose of funding environmental projects. In the last years, the development of GBs has shown that this is an effective investment channel for the purpose of protecting the environment. Viet Nam is an Asian...

Using an international sample of corporate Green bond issuances over the recent period, this paper highlights the potential consequences of the issuance of a Green bond on the issuer's financial performance. Starting with a first sample of 2079 Green bond issuances of 190 unique issuers from...

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

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...

This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized skewness to have significant negative effect on...

This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53] to multi-period markets. This extension is...

This study was conducted in order to analyse the two-way relationship between the Islamic stock market and sukuk market development, and economic growth. this study also analyses whether trade openness influences the development of the Islamic stock market and sukuk market, and economic growth....

The financial system plays a major role in the transition to a low-carbon economy. We investigate this issue analyzing the recent developments and challenges in the bond and debt markets. First, we study the pricing of green bonds at issuance. We find a premium when green bonds are issued by...

Growing acceptance of passive bond exchange traded funds (ETFs) and actively managed bond mutual funds has exposed the need to find a divide between these two comparatively similar types of instrument. This paper provides a comparative analysis of actively managed bond funds and passive bond...

This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into account both bond and issuing bank's characteristics, and also considers the role of country−specific CoCo bond market competitiveness. Buyers are found to be characterised by...

Green bonds, as one of the main tools of green finance, have become an important choice of enterprises in green industries. Therefore, it has become an important theoretical and practical hot topic whether to select and what factors affect a choice to issue labeled green bonds for enterprises...

To finance the transition to low-carbon economies required to mitigate climate change, countries are increasingly using a combination of carbon pricing and green bonds. This paper studies the reasoning behind such policy mixes and the economic interaction effects that result from these different...

The ECB has announced that when government and corporate bonds come to maturity in the context of its QE-program, new bonds will be bought in the market so as to keep the money stock (money base) unchanged. This creates a "window of opportunities" for the ECB. It could replace the old bonds with...

We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data-generating process is more challenging than currently appreciated. To circumvent these difficulties, we introduce a novel nonparametric bootstrap that is...