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Journal Article
The vanishing equity premium
Clement, Douglas (2001-06)
The Region , Volume 15 , Issue Jun , Pages 6-7

Conference Paper
Bond market discipline of banks
Morgan, Donald P.; Stiroh, Kevin J. (2000)
Proceedings , Paper 687

Conference Paper
Bank underwriting of corporate bonds evidence from Japan after the financial system reform of 1993
Hoshi, Takeo; Hamao, Yasushi (2000)
Proceedings , Paper 670

Journal Article
Determinants of individual tax-exempt bond yields : a survey of the evidence
Cook, Timothy Q. (1982-05)
An abstract for this article is not available.
Economic Review , Volume 68 , Issue May , Pages 14-39

Working Paper
Requiem for a market marker: the case of Drexel Burham Lambert and below-investment-grade bonds
Brewer, Elijah; Adams, William James (1997)
Working Paper Series, Issues in Financial Regulation , Paper WP-97-25

Report
Pricing the term structure with linear regressions
Moench, Emanuel; Adrian, Tobias (2008)
We estimate the time series and cross section of bond returns by way of three-stage ordinary least squares, which we label dynamic Fama-MacBeth regressions. Our approach allows for estimation of models with a large number of pricing factors. Even though we do not impose yield cross-equation restrictions in the estimation, we show that our bond return regressions generate a term structure of interest rates with small yield errors when compared with commonly reported specifications. We uncover specifications that give rise to lower pricing errors than do commonly advocated specifications, both ...
Staff Reports , Paper 340

Journal Article
What makes the yield curve move?
Wu, Tao (2003)
FRBSF Economic Letter

Working Paper
Does trading frequency affect subordinated debt spreads?
Hancock, Diana; Bianchi, Christopher; Kawano, Laura (2004)
Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S. banking organizations over the 1987:Q2 - 2002:Q4 period. Since trade volumes are unobservable, we construct various measures of weekly trading frequency from observed bond prices. Using these indirect liquidity measures, we find evidence that trading ...
Finance and Economics Discussion Series , Paper 2005-08

Working Paper
Testing conflicts of interest at bond rating agencies with market anticipation: evidence that reputation incentives dominate
Covitz, Daniel M.; Harrison, Paul (2003)
This paper presents the first comprehensive test of whether well-known conflicts of interest at bond rating agencies importantly influence their actions. This hypothesis is tested against the alternative that rating agency actions are primarily influenced by a countervailing incentive to protect their reputations as delegated monitors. These two hypotheses generate a number of testable predictions regarding the anticipation of credit-rating downgrades by the bond market, which we investigate using a new data set of about 2,000 credit rating migrations from Moody's and Standard & Poor's, and ...
Finance and Economics Discussion Series , Paper 2003-68

Journal Article
How important is the inflation risk premium?
Shen, Pu (1998-10)
Investors and market analysts generally believe that the yield on a nominal bond includes an inflation risk premium to compensate investors for bearing the inflation risk associated with the bond. Knowing how much of a risk premium investors require on nominal bonds can be valuable information for policymakers. For government Treasuries, the size of the risk premium represents the potential interest savings for governments when nominal securities are replaced with real, or inflation-indexed, securities. And, because the inflation risk premium reflects perceived inflation uncertainty, changes ...
Economic Review , Volume 83 , Issue Q IV , Pages 35-47

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