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We consider the influence of domestic and US macroeconomic news surprises on a daily bond yields over the January 1999 to January 2018 period for four advanced Negative Interest Rate Policy (NIRP) economies – Germany, Japan, Sweden, and Switzerland. Our results suggest that the influence of macroeconomic news surprises is for all four countries under study during the NIRP period non-existent or noticeably weaker than during the preceding Zero Interest Rate Policy (ZIRP) period. Our results are consistent with the suggestion that NIRP is characterized by a lower bound that is no less constraining than the zero lower bound that characterizes ZIRP.

Does gross or net debt matter for long-term sovereign spreads in emerging markets? The topic is important for undestanding the borrowing cost implications of public assetliability management decisions (e.g. using assets to lower debt). We investigate this question using data on emerging market economies (EMEs) over the period 1998–2014. We find that both gross debt and assets have a significant impact on long-term sovereign bond spreads in emerging markets, with effects roughly offsetting each other (coefficients of opposite sign and similar magnitude). Hence, net debt seems more appropriate than gross debt when evaluating the impact of indebtedness on spreads. The empirical results suggest that an increase in net debt by 10 percentage points of GDP implies an increase in the spread by 100–120 basis points, and the effect is larger during periods of domestic distress. The key results from this empirical study are quite robust to alternative specifications and subgroups of EMEs.

This paper analyzes the effects of credit frictions in a trade model where heterogeneous firms select both into exporting and into two types of external finance. In our framework, small producers face stronger credit frictions, pay a higher borrowing rate and rely on bank finance, whereas large firms have access to cheaper bond finance. We show that an increase in credit frictions induces firms to select into bank finance, which attenuates the negative implications on product variety and welfare. In the open economy, the presence of effective financial intermediation increases the welfare gains from trade. In a counterfactual analysis, we exploit that our framework nests a model with credit frictions and one type of finance as a special case, and we show that endogenous selection into external finance is an important channel of adjustment.

We analyse empirically whether the common monetary policy of the Eurosystem has heterogeneous effects on the four large member countries of the European Monetary Union (France, Germany, Italy and Spain) focussing on possible cross-country differences in the reaction of output, the price level and financial variables to changes in the Euroystem’s monetary policy interest rate. We use a large multi-country Bayesian vector autoregression to jointly model the dynamics of output, prices and financial variables in the four countries after 1999. Following Giannone, Lenza, and Primiceri (2015) the prior distributions are selected in a data-driven way. We compare across countries the reactions of the variables to exogenous changes in the Eurosystem’s common monetary policy interest rate. The Bayesian approach specifically allows us to make explicit probabilistic statements about the extent of cross-country heterogeneity in the effects of monetary policy. We further strengthen the robustness our results using a battery of additional tests on cross-country differences in the distributions of the effects of monetary policy. Comparing the macroeconomic effects of an exogenous increase in the Eurosystem’s monetary policy interest rate across countries we find real output to respond less negatively in Spain compared to the other three countries while the drop in the price level is less pronounced in Germany relative to France, Italy and Spain. Bond yields rise more strongly and persistently in France and Germany compared to Italy and Spain.

One session options (OSO) are unique financial instruments that perfectly fit the criteria for a lottery-type asset; a low-price (average premium of 1 b.p.) coupled with a relatively small probability of a large payoff. Using intra-day data for over 12.8 million intra-day option contracts on the 3-Year Treasury Bond, we examine trading behaviour in the OSO market over the period 2002-2019. We find that trading volume is higher on days with a major macroeconomic announcement, and concentrated earlier in the trading session, prior to the data release. Trading volume tends to be higher when there is a difference of opinion surrounding the announcement outcome or when the level of economic policy uncertainty is higher. Trading in OSO has some predictive value for the surprise component of the macroeconomic announcement, but this does not translate into economic profits. While there is a positive option payoff on average, the average net profit is negative once premiums are accounted for. Our results are robust to different measures of uncertainty, market activity, and model form. It seems likely that OSO trading behaviour is best explained by ‘differences of opinion’.

Contrary to the existing theories of private label products, we demonstrate that the introduction of a private label product by a retailer may improve the profits of the supplier of a competing national brand product. Our theory is built on two main elements. First, the introduction of a private label product may expand the total demand for the products carried by the retailer and thus enlarge the joint profit to be split between the retailer and the supplier of the national brand product. Second, in an environment where consumers do not know the quality of the private label product, the national brand serves as a bond to assure consumers that the retailer sells high-quality products only. This quality assurance enhances the joint profit generated by the introduction of the private label product, which, in conjunction with the weakening of the retailer’s bargaining position caused by asymmetric information, may enable the national brand supplier to earn a larger profit than in the absence of the private label product.

This paper evaluates and compares the effects of conventional and unconventional monetary policies on the corporate debt structure in the United States. It does so by using a vector autoregression in which policy shocks are identified through high-frequency external instruments. Our results show that conventional and unconventional expansionary monetary policies have similar positive effects on aggregate activity, but their impact on corporate debt structure goes in opposite directions: (i) conventional monetary easing increases loans to non-financial corporations and reduces corporate bond financing; (ii) unconventional monetary easing increases bond finance without affecting the loans.

The yield spread of South African to United States 10 year government bonds over the last 5 years has increased substantially to levels approaching those last seen during the mid-1980s. This yield spread increase is replicated in spreads relative to long-term German bonds, as well as for the spread of state owned enterprises (ESKOM) to United States and German bonds. This paper examines the association between the spread and macroeconomic fundamentals over the 1960-2019 sample period, under the GARCH and GARCH-M class of estimators. We find that higher South African economic growth, lower inflation, public and private debt, as well as Rand-Dollar appreciation are all associated with a statistically significantly lower South African - United States yield spread. The strongest impact is associated with the public debt-to-GDP ratio. Mean spread levels do not appear to be influenced by yield volatility. Finally, while there is no evidence of sign bias in the impact of shocks on yield volatility (negative shock impacts are no di¤erent than positive), there is evidence of size bias for both positive and negative shocks: larger shocks have a larger impact on volatility than small, regardless of their sign. Collectively, and even ignoring the impact of private sector leveraging, South Africa’s performance in these macroeconomic fundamentals is associated with an increase in the SA-US yield spread of 363 basis points (since 2012). This constitutes a substantial proportion of the current 741 basis point spread.

We identify a new channel of the monetary policy transmission that affects asset prices through the secured interbank market. Central bank’s open market operations, by changing the relative amount of securities and reserves, alter the amount of securities that can be used as collateral and, consequently, influence their prices. Ceteris paribus the magnitude of the effect depends on assets’ pledgeability properties (haircuts). We analyze the relation between yields of euro area government bonds, the haircuts applied to these assets and the relative amount of bonds and central banks reserves. The empirical evidence confirms that this channel is economically relevant.

Objectives The study aims to develop a continuing bonds scale, investigate the relationship between continuing bonds and adjustment after loss, and test the moderating role of meaning reconstruction in this relationship. Methods Data were collected from two different samples of 306 (Study 1) and 271 (Study 2) bereaved adults. Results The four factors structure of the Multidimensional Continuing Bonds Scale (MCBS) was explored and confirmed. Hierarchical regression analysis revealed that continuing bonds showed a significant relationship with prolonged grief symptoms after controlling the risk factors such as gender, age of the deceased, time since loss, and cause of death. Meaning reconstruction moderated the relationship between continuing bonds and prolonged grief symptoms. Conclusion The results revealed that the MCBS can be used as a valid and reliable scale to assess the continuing bonds construct. The relationship between continuing bonds and prolonged grief symptoms varies according to the levels of meaning reconstruction.

We conduct a comprehensive pricing study of additional tier 1 ​(AT1) contingent convertible (CoCo) bonds issued by Eurozone banks. By accounting for an extensive set of pricing determinants related to the regulatory framework, the security design and key market variables, we show that the regulatory concept of the maximum distributable amount (MDA) introduced in 2016 has a significant and economically meaningful impact on CoCo spreads. Furthermore, we examine whether the market stress induced by the COVID-19 pandemic influences the determinants of CoCo spreads. Our results show that the pricing factors remain stable throughout tranquil and volatile periods. © 2021 John Wiley & Sons Ltd.

Disturbance can induce some dams to abandon their neonates, whereas others continue parental investment. Understanding the variability of the dam–neonate bond and parental investment of large, mobile species, reclusive during calving, such as moose (Alces alces), can be challenging. Advances in global positioning system (GPS) collar technology and analytical approaches allowed us to better understand the role that dam–neonate proximity plays in maintaining the maternal–neonate bond and maternal investment. In 2013 and 2014, we used movement behavior of 50 free‐ranging GPS‐collared dams and their 74 GPS‐collared neonates during 96 hr postcapture/release of neonates to examine home range (HR) sizes, overlap of their HRs, reunions (≤26 m), and dynamic interactions of their movements. Mean area of 95% kernel density estimator (KDE) HRs of neonates (23.5 ha) not abandoned by their dams was more than 2 times that of abandoned neonates (10.4 ha). Mean HR area of dams continuing to invest in their neonates (104 ha) was smaller than that (897 ha) of abandoning dams. Mean overlap of core (50% KDE) and 95% KDE HRs of dam–neonate pairs when investment continued was 38.7% and 42%, whereas corresponding overlap of HRs associated with abandonment was 0.1% and 2.7%. Mean proportion of pairwise hourly location‐fixes indicative of reunions of dams investing in their neonates was 0.37 and occurred at a mean interval of 2.7 hr. A stronger (p ≤ .05) interaction of mean hourly distances moved (did) between dams investing in their neonates was associated with closer proximity compared with dams abandoning neonates. Our collective data indicate that the spatial proximity of dams investing in their neonates, and their stronger bond, nurtured neonate vitality in a way that reinforced continued investment. In contrast, the abandoning behavior of more distant dams had a diminishing influence on viability of their neonates via nutritional deprivation and limited reciprocal stimulation.

The equity term structure is downward sloping at long maturities. I estimate an Intertemporal Capital Asset Pricing Model (ICAPM) to show that the trade‐off between market and reinvestment risk explains this pattern. Intuitively, while long‐term dividend claims are highly exposed to market risk, they are good hedges for reinvestment risk because dividend prices rise as expected returns decline, and longer‐term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment risk dominates at long maturities, inducing relatively low risk premia on long‐term dividend claims. The model is also consistent with the equity term structure cyclicality and the upward‐sloping bond term structure.

It is here reported that the NaBH3- cluster exhibits a Na⋅B one-electron bond, a well-established type of electron-deficient bonding in the literature. The topological analysis of the electron localization function, at the correlated level, reveals that Na- , when approaching the bonding distance, fairly distributes its valence electron pair between two lobes. One of these electrons is used to bond with BH3 , which participates through its boron empty p-orbital. Furthermore, the bonding situation of LiBH3- , KBH3- , MgBH3 , and CaBH3 global minima structures are similar to that of NaBH3- , extending the family of these new one-electron bond systems with biradicaloid character.

I examine investors' within ESG investment preferences during the COVID‐19 pandemic by investigating the return spillover effects across the three different corporate bonds and equities‐based investment strategies. Investors prefer making investments in ESG leaders in the investment‐grade corporate bond market over ESG leaders in the equity and high yield corporate bond markets during times of uncertainty. It suggests that capital flows away from high yield corporate bond and equity markets to the investment‐grade corporate bond market. Investors find refuge in firms with relatively higher ESG ratings and creditworthiness in the fixed income market over the equity market during crisis periods.

This study provides evidence on the role of public firms’ financial reports in the state‐bond secondary market. I investigate the informational role of corporate earnings announcements and find that public firms’ monthly earnings signals aggregated to the state level are positively associated with contemporaneous state‐bond returns. Further analyses reveal that public firms’ earnings announcements predict traditional economic indicators and contain incremental information that is independent of the traditional economic indicators. In cross‐sectional analyses, I show that the earnings–returns relation is especially pronounced when bondholders face longer investment horizons and higher credit risks. Taken together, the evidence indicates a positive externality of corporate financial reports in alleviating the opacity in the municipal bond secondary market.

A recent trend is that firms prefer to hire generalist CEOs with transferable skills (across firms or industries) over hiring specialist CEOs, but the consequences of this trend are unclear. In this study, we examine whether credit rating agencies consider a CEO’s general skills as a credit risk factor when assessing an entity’s overall creditworthiness. We predict and find that generalist CEOs are associated with lower credit ratings, suggesting that the presence of generalist CEOs is a significant credit rating factor. We also find that generalist CEOs are likely to take on more risks, which leads to more volatile performance ex post, and our path analyses confirm default risks is a significant mediator between credit ratings and CEOs’ general skills. Our results hold in the presence of additional controls (e.g., CEO characteristics and corporate governance), when applying different fixed-effect models and different matching methods, and for a subsample with forced CEO turnover. We also find that the negative relationship is attenuated for R&D-intensive firms and firms in competitive industries. Last, we provide evidence that firms with generalist CEOs face higher borrowing costs, such as bond yields and syndicated loan spreads. Overall, our results contribute to a growing literature on the costs and benefits of hiring generalist CEOs, by providing a full picture of why hiring a generalist CEO may benefit shareholders but also cause misalignments with bondholders’ interests.

Grouted tendons are commonly used in construction of bridges and other post-tensioned structures. The quality of grouting is essential to provide the durability and robustness of the structure. In this paper, the bond and re-anchoring of post-tensioned tendons in grout in case of tendon failure is assessed. A set of tests were conducted to simulate the failure of a post-tensioned tendon in the beam. The results were compared with the theory of prestressing strand anchoring in concrete. In the tests, the re-anchoring and bond lengths were measured in case of complete grout and incomplete grout with void. In the case of incomplete grout, the increase in re-anchoring length is observed. In the case of overlapping re-anchoring and bond length, the bond length and tendon slip increase significantly. A limited re-anchoring length of tendon in incomplete grout increases the robustness of the structure, as the broken tendon can maintain its effectiveness outside of the failure region. The existing calculation model shows a good match with test results, and therefore it is suitable for the analysis of structures with broken tendons. publishedVersion

This paper examines the effects of fiscal decentralization on the default risk of Chinese local government debts based on data from both urban construction investment bonds and local government bonds. The empirical evidence indicates that while fiscal revenue decentralization tends to mitigate the default risk of local government debts, fiscal expenditure decentralization increases it. Four policy measures, namely, fiscal transparency, hard budget constraints, debt quotas, and local officials' ability to manage debt are also introduced to investigate how they affect the influence of fiscal decentralization on Chinese local government debt risk.

We develop a theory that links the U.S. dollar's valuation in FX markets to the convenience yield that foreign investors derive from holding U.S. safe assets. We show that this convenience yield can be inferred from the Treasury basis, the yield gap between U.S. government and currency‐hedged foreign government bonds. Consistent with the theory, a widening of the basis coincides with an immediate appreciation and a subsequent depreciation of the dollar. Our results lend empirical support to models that impute a special role to the United States as the world's provider of safe assets and the dollar as the world's reserve currency.

We propose a supplementary way to assess the information content of a financial statement disclosure based on the comovement of asset returns in different markets in response to information that has price implications for both. The influence of a signal that strongly influences at least two asset markets measures a dimension of information content less clearly reflected in single‐market responses. We apply our method to debt covenant violation (DCV) disclosures. These are the outcome of a debt renegotiation when the covenant promises in a debt agreement to manage the agency costs of debt are broken. We find that stock and bond return comovement is highest one day before DCV disclosure and differs depending on whether the debt covenant is waived or not waived. We find that stock and bond return comovement in the days following a DCV disclosure decreases more for non‐waiver disclosures than for waiver disclosures. This supports the theory that a non‐waiver outcome shifts control rights and bargaining power to the creditors. Consistent with this theory, single‐market tests show that bonds with a non‐waiver disclosure versus a waiver disclosure earn positive excess returns following a DCV disclosure whereas the reverse is true for stocks.

We study the forecasting power of economic uncertainty about government policy for future bond returns. Using the economic policy uncertainty measure (EPU) developed by Baker, Bloom, and Davis (2016), we investigate its relationship to expected bond returns. The impact of the EPU is shown to be large for earlier maturities at shorter investment horizons. Estimating an affine term structure model incorporating the EPU, we show that term premia estimates from this model with this additional pricing factor exhibit higher fluctuations and move closely with the variations in observed yields. The implied term premia show strong countercyclical movements, hence better explaining higher risk compensation under adverse economic conditions as expected by theory.

Research on citizen science programmes has highlighted that they can foster science content and knowledge gain, enhance pro‐environmental behaviour and cultivate civic action among participants. Especially in the case of place‐based citizen science, which requires hands‐on repeated activity in an out‐of‐door setting through a scientific lens, evidence suggests that some of these outcomes may be linked to the unique people–place relationships and interactions afforded by such programmes. Even still, studies that empirically examine the influence of place on citizen science participant and programme outcomes are scant. This is due, in part, to the methodological challenges involved in interrogating complex aspects of a person's sense of place—aspects like place attachment—the emotional bonds between people and place. Here, an adapted three‐dimensional model of place attachment is proposed as a theoretical framework from which place‐based citizen science experiences and outcomes might be empirically examined in depth. The model, which posits personal, social and natural environment dimensions of place attachment is contextualized with research findings from the US‐based Coastal Observation and Seabird Survey Team (COASST) citizen science programme. Data from COASST suggest that participants do exhibit place attachment in all three dimensions of attachment, categorized within seven unique constructs, although questions remain regarding the unique intensity, make‐up (shape) and scale (spatial, social and nature‐science) of individual‐level attachment along the three central dimensions. Critically, more research is needed to investigate whether the unique place attachment ‘profile’ of participants is a function of personal, social or programmatic variables pre‐ and post‐programme participation. To encourage further scholarship on potential links between the experiences, exposures and programme components of place‐based citizen science and the place attachment profiles of participants, this paper includes a brief review of the research opportunities presented by the adapted three‐dimensional place attachment model discussed. Advancing this line of inquiry is an important component of broader efforts to understand how sense of place is altered via place‐based citizen science and whether or not that is linked to specific programme outputs or participant outcomes in science knowledge, ecological understanding and civic engagement. A free Plain Language Summary can be found within the Supporting Information of this article.

Many authorities claim that central banks ‘have run out of ammunition’, either because the central bank rate has dropped close to the zero lower bound or because of Keynes's liquidity trap. I argue first, that indefinitely large increases in the quantity of money remain possible even with the central bank rate close to zero, and, second, that increases in the quantity of money raise all asset prices, including the prices of quoted equities, not just bond prices. Bonds are an unimportant asset class in modern capitalist economies, relative to corporate equity and real estate. Meanwhile increases in equity prices always boost aggregate demand and output.

We develop a conceptual framework to model the seasonality in the probability of catastrophe bonds being triggered. This seasonality causes strong seasonal fluctuations in spreads. For example, the spread on a hurricane bond is highest at the start of the hurricane season and declines as time goes by without a hurricane. The spread is lowest at the end of the hurricane season assuming the bond was not triggered, and then gradually increases as the next hurricane season approaches. The model also implies that the magnitude of the seasonality effect increases with the expected loss and the approaching maturity of the bond. The model is supported by an empirical analysis that indicates that up to 47% of market fluctuations in the yield spreads on single-peril hurricane bonds can be explained by seasonality. In addition, we provide a method to obtain market-implied distributions of arrival frequencies from secondary market spreads.

In this paper we examine the holdings of government securities by domestic banks along with those of five other sectors: foreign banks, foreign non-banks, the official foreign sector, the domestic central bank and domestic non-banks. We use data for 21 advanced economies from 2004 Q1 to 2016 Q2. The results offer four main insights. First, banks are reluctant to undertake major changes in their holdings of domestic bonds but do accept frequent changes of more intermediate size. Second, the foreign official sector emerges as the clearest example of a contrarian investor, buying when prices fall and selling when prices rise. Third, the greater the holdings by domestic and foreign banks, the lower the yields tend to be on 10-year benchmark sovereign bonds. Finally, in all countries included in the sample we find a positive home bias in banksi?½ sovereign holdings while foreign banks hold fewer bonds than predicted by a neutral portfolio measure. These results suggest that banks regard domestic government bonds as a special asset class (hence the positive bias and avoidance of major changes in inventories) which they manage in a flexible manner (hence the frequent intermediate changes and lack of systematic timing of transactions), in all likelihood to meet requests from their customers. All in all, this behaviour by domestic banks provides a positive contribution to the liquidity of the market.

We investigate the intra‐industry spill‐over effect of defaults in the Chinese bond market by using a sample of public corporate debt securities for the period 2014–2018. We find that both industry portfolios and individual firms witness a strong contagion effect, which further spreads to the primary bond market, triggering a surge in the debt financing cost for default industries. Moreover, this contagion effect is stronger for low‐competition industries and regulated industries, as well as when a default happens to state‐owned enterprises. Better information access and higher bond liquidity alleviate the contagion effect, lending support to the information updates and liquidity dry‐up hypotheses.

We apply wavelet analyses to study the impact of COVID-19 pandemic on the performance of emerging market bonds, in both investment grade and high yield ranges of creditworthiness Our results show varying level of coherence ranging from low, medium and high between the Coronavirus Media Coverage index and the price moves of the emerging market USD-denominated debt We attribute the intervals of low coherence levels to the diversification potential during a systemic pandemic such as COVID-19 of investments in bonds issued by developing economies We document differences in patterns exhibited by various indices describing behaviour of option-adjusted spreads and total returns as a function of credit quality of issuers form emerging market economies We report well-defined zones of the regime switching between the lead and lag roles of the emerging market bonds vis-a-vis the media coverage

I study international risk sharing with limited stock market participation and preference heterogeneity in each country. An incomplete market model jointly generates high cross-country equity return correlation and low aggregate consumption growth correlation, while matching salient features of asset prices. The model further generates several implications that I show in the data: 1) The stockholders' cross-country consumption growth correlation is considerably higher than that of the aggregate; 2) International bond flows help agents share the labor income risk only, while the country-specific financial income fluctuations are negatively correlated with equity inflows only; 3) The stockholders' consumption risk is priced in both the home and foreign equity markets. I show that the financial integration significantly improves the stockholders' welfare without benefiting the non-stockholders.