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Journal Article
What moves the bond market?
Remolona, Eli M.; Fleming, Michael J. (1997-12)
In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released macroeconomic announcements. They also measure the market's average reactions to theses announcements and analyze the extent to which the reactions depend on the degree of announcement surprise and on prevailing market conditions. The market's price and trading reactions are found to reflect differences of ...
Economic Policy Review , Volume 3 , Issue Dec , Pages 31-50

Journal Article
The case for junk bonds
Rosengren, Eric S. (1990-05)
An important financial innovation of the 1980s was the emergence of original-issue junk bonds, securities of below investment grade with high initial yields to maturity. Prior to the 1980s, firms that did not qualify as investment-grade borrowers relied almost exclusively on short-term bank loans for debt financing. Now many such enterprises can obtain long-term financing in national credit markets. ; This article shows that junk bonds are a natural extension of the disintermediation occurring in other financial markets. The author argues that regulating junk bonds alone will not prevent ...
New England Economic Review , Issue May , Pages 40-49

Journal Article
Should the U.S. government issue index bonds?
Grolnic, Joseph B.; Munnell, Alicia H. (1986-09)
New England Economic Review , Issue Sep , Pages 3-21

Journal Article
Inflation-indexed bonds: the dog that didn't bark
Kimball, Ralph C.; Kopcke, Richard W. (1999-01)
The introduction by the U.S. Treasury of inflation-indexed notes was one of the most widely publicized innovations in the U.S. capital markets in recent years. Since their introduction in January 1997, $57 billion in 5-, 10-, and 30-year Treasury Inflation-Protected Securities (TIPS) has been issued, and the Treasury has recently announced that TIPS will also be offered as small- denomination savings bonds. Because both the coupon and the principal of TIPS vary with the consumer price index, the Treasury believes these notes will appeal to risk-adverse investors seeking protection from ...
New England Economic Review , Issue Jan , Pages 3-24

Report
Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets
Chakravarty, Sugato; Sarkar, Asani (1999)
We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets for the years 1995 to 1997, based on newly available transactions data. Overall, we find that liquidity is an important determinant of the realized bid-ask spread in all three markets. Specifically, in all markets, the realized bid-ask spread decreases in the trading volume. Additionally, risk factors are important in the corporate and municipal markets. In these markets, the bid-ask spread increases in the remaining-time-to maturity of a bond. The corporate bond spread also ...
Staff Reports , Paper 73

Report
Defaults and losses on commercial real estate bonds during the Great Depression era
Ashcraft, Adam B.; Wiggers, Tyler (2012)
We employ a unique data set of public commercial real estate (CRE) bonds issued during the Great Depression era (1920-32) to determine their frequency of default and total loss given default. Default rates on these bonds far exceeded those originated in subsequent periods, driven in part by the greater economic stress of the Depression as well as the lower level of financial sophistication of investors and structures that prevailed in 1920-32. Our results confirm that making loans with higher loan-to-value ratios results in higher rates of default and loss. They also support the business ...
Staff Reports , Paper 544

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
Do international reactions of stock and bond markets reflect macroeconomic fundamentals?
Remolona, Eli M. (1991-10)
Using quarterly data for the United States, Japan, and the United Kingdom, this article investigates the relationship between changes in fundamental economic conditions and the international reactions of stock and bond markets. The author assesses the degree to which the transmission of information about fundamentals prompts the stock or bond markets in different countries to move together.
Quarterly Review , Volume 16 , Issue Aut

Journal Article
Expected inflation and real interest rates based on index-linked bond prices: the U.K. experience
Gabriel de Kock (1991-10)
Some analysts have argued that indexed bonds convey important information for the formulation of monetary policy. This article investigates whether a market measure of expected inflation derived from British indexed gilt prices would be useful in predicting future inflation and real economic activity.
Quarterly Review , Volume 16 , Issue Aut , Pages 47-60

Report
Two factors along the yield curve
Gong, Frank F.; Remolona, Eli M. (1996)
We estimate two-factor equilibrium models on different parts of the yield curve. In this exploration of the term structure of interest rates, we use two-factor affine yield models as our diagnostic tool. The exercise provides insights on how to reconcile the time-series dynamics of interest rates with the cross-sectional shapes of the term structure and on how movements in the yield curve are related to macroeconomic fundamentals. The evidence favors models in which one factor reverts over time to a time-varying mean. One such model seems adequate to explain three-month to two-year bond ...
Research Paper , Paper 9613

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