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This study aims to analyze the influence of determinant factors: (i) exchange rates, (ii) inflation, (iii) CDS spreads, (iv) bid-ask spreads, (v) overnight rate, (vi) CB's rate (Central Bank Rate), and (vii) oil prices on Government bond yields. The data used are monthly data in the period 2012 - 2018. The research method used is the Vector Auto Regression (VAR) approach. Our analysis indicated that the determinant factors have impact on government bond yields. Based on the analysis of the impulse response function (IRF), the yield is to respond to any shocks given by the long term. While through forecast error variance decomposition (FEVD) analysis, found that CDS spreads and oil prices contributed significantly to the movement of Government bond yields.

AbstractPutting no restrictions on forward interest rates, earlier research has shown that yield curves for coupon‐bearing bonds will become flat for long maturities. This paper shows that weak restrictions on forward rates imply flattening of bond yield curves for maturities of 10 to 15 years.

Abstract
Euro Area sovereign bond yield spreads fell significantly after the creation of the monetary union and moved in unison until the recession of 2008, when investors' risk pricing changed considerably. Rising bond yield spreads caught the attention of economists who tried to find the factors influencing their size. Evolution of bond spreads was mostly related to various macroeconomic factors as well as the soundness of the countries' banking sectors and a general level of risk aversion in the financial markets. Analysis presented in this paper compares bond yield spreads of Euro Area member countries and relates them to their debt levels as well as the liquidity of the securities and a general level of risk aversion. Apart from the usual variables, we also analysed differences in purchasing power to assess the impact of the common monetary policy in the pre-crisis period. After adjusting the model to better explain movements of linear regression residuals, we could not prove a systematic assessment of the above-mentioned factors except for time periods of high market volatility. We explain sudden changes in the importance of idiosyncratic factors as consequences of policies of the European Central Bank and other European Union institutions following such time periods, which, as our analysis suggests, distorted pricing of risk in the markets.

The aim of this paper is to study municipal green bonds as fixed-income instruments used for environmentally friendly projects. This research was motivated by the absence of an effective global CO2 pricing scheme, making green bonds one of the most important instruments to tackle climate change. After an overview of the U.S. municipal green bond market, yields of municipal green bonds vs. ordinary municipal bonds were analysed. S&P U.S. Municipal Green Bond Index and S&P U.S. Municipal Bond Index were used in the study. The methodological framework includes a review of relevant literature, descriptive statistics with correlation analysis and hypotheses testing. As initially expected, significant positive correlation between green bond and ordinary bond yields was found, where green municipal bonds generate slightly lower yields than otherwise similar ordinary bonds. The existence of a statistically significant yield discount, i.e., a green premium, has not been confirmed.

Neben der Einleitung ist die Dissertation in zwei Teile aufgeteilt. In Teil I wird die Annahme eines Investors mit μ-σ Präferenz getroffen. Das erste Kapitel stellt ein Multi-Rating ATSM unter Arbitragefreiheit mit dem klaren Fokus auf Zinsstrukturkurvenmodelle für Unternehmensanleihen vor. Im zweiten Kapitel des ersten Teils werden gemeinsame Risikofaktoren in U.S. amerikanischen und britischen Staatsanleihenrenditen in der Periode von 1983 bis 2012 untersucht. Der Zweite Teil der Dissertationsschrift untersucht einen anspruchsvolleren Investor. Im vierten Kapitel wird die statistische Verteilung von täglichen Anleihenrenditen von europäischen Staatsanleihen im Zeitraum 1999 bis 2012 untersucht.

This paper relates Keynes's discussions of money, the state theory of money, financial markets, investors' expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Investors' psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank's monetary policy actions on the long-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields substantiate the Keynesian perspective that the long-term interest rate responds markedly to the short-term interest rate. These empirical studies not only vindicate the Keynesian perspective but also have relevance for macroeconomic theory and policy.

We analyze if and to what extent fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the low levels of US bond yields over the last few years. For that purpose, we start with a general model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction mechanism. We are able to establish a stable long-run relationship and find that the behavior of bond yields, even during the last two years, can well be explained. Alongside the more traditional macroeconomic determinants like core inflation, monetary policy and the business cycle, we also include foreign holdings of US Treasuries. The latter should capture the frequently mentioned structural effects on long-term interest rates. Finally, our bond yield equation outperforms a random walk model in different forecasting exercises. ; In dem vorliegenden Papier untersuchen wir, ob und in welchem Ausmaß fundamentale makroökonomische Faktoren, temporäre Einflüsse und/oder strukturelle Faktoren zum niedrigen Niveau der Renditen in den USA in den letzten Jahren beigetragen haben. Dafür gehen wir von einem allgemeinen Zinsbestimmungsmodell aus. Die empirische Umsetzung verwendet eine Kointegrationsanalyse mit einem Fehlerkorrekturmechanismus. Es gelingt uns, eine stabile Langfristbeziehung für die Renditen aufzustellen, mit der wir die Entwicklung der Renditen, auch in den letzten Jahren, befriedigend nachvollziehen können. Neben den mehr traditionellen Faktoren wie Kerninflation, Geldpolitik und Konjunktur, berücksichtigen wir auch die ausländische Nachfrage nach US-Staatsanleihen. In letzterer dürften sich strukturelle Einflüsse auf die Renditen niederschlagen. Mit der präferierten Renditegleichung kann ein Random Walk in verschiedenen Prognoseszenarien geschlagen werden.