Ambiguity, Nominal Bond Yields, and Real Bond Yields

Pricing Bond Yields in the European Bond Market

U.S Monetary Policy and Foreign Bond Yields

This paper compares the effects of conventional U.S. monetary policy on foreign government bonds yields with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound in late 2008. We measure the U.S. monetary policy surprises using narrow-window changes in the 2-year Treasury yield bracketing FOMC announcements. The results indicate that an expa...

Equilibrium Growth, Inflation, and Bond Yields

This paper explores bond pricing implications of a stochastic endogenous growth model with imperfect price adjustment. In this setting, the production and price-setting decisions of firms drive low-frequency movements in macro growth and inflation rates that are negatively related, as in the data. With recursive preferences, these endogenous long-run growth and inflation dynamics are crucial fo...

How Does Liquidity Affect Government Bond Yields?∗

The paper explores the determinants of yield differentials between sovereign bonds, using Euro area data. There is a common trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials display sizeable heterogeneity and no common factor. We propose a simple model with endogenous liquidity demand, where a bond’s liquidity premium depend...

The determinants of corporate bond yields

Previous studies have found that common factors explain a high proportion of corporate bond yields. In this paper, we test whether there is a systematic risk premium beyond that implied by a risk-neutral term structure model. We propose a reduced-form term structure model that incorporates both default and tax effects. After controlling the effects of personal taxes and default risk, empirical ...