Essays on Bond Yields

Abstract

This doctoral dissertation comprises three essays which study the determinants of bond yields. The dissertation is organised around the idea that bond yields can be partitioned into a risky component which prices for the risk of illiquidity and default; and a risk-free component which prices for investors' time preferences, and expected monetary policy movements. The first essay considers the liquidity and credit premia in supranational, semi-government and agency bond yields; term premia in sovereign bond yields and their relation to the economy constitute the focus of the second essay; and the third essay is devoted to an inquiry into the nature of expectations of future monetary policy movements in bond yields. In each case, it is found that valuable information can indeed be extracted from the market pricing implied by bond yields. Show more