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We analyze the relationship between unemployment rate changes and government bond yields during and after the most recent financial crisis across ten industrialized countries. The study is conducted on a weekly basis and we therefore nowcast unemployment data, which are only available once a month, on a weekly frequency using Google search query data. In order to account for the time series' long-memory components during the first-stage nowcasting and the second-stage modeling, we draw on Corsi's (J Financ Economet 7:174–196, 2009) heterogeneous autoregressive time series model. In particular, we adapt this idea to a setting of mixed-frequency nowcasting. Our results indicate that Google searches greatly increase the nowcasting accuracy of unemployment rate changes. The impact of an idiosyncratic rise in unemployment on bond yields turns out to be positive for European countries while it is negative for the United States and Australia. The speed of the response also varies. Not unexpectedly, bond yields do not have an impact on unemployment. Our findings have interesting implications for the way shocks are absorbed in economic systems that differ, in particular, with respect to the central bank's core tasks. [ABSTRACT FROM AUTHOR]

The article considers the pricing of premium bonds. The author seeks to determine the appropriate bond pricing equation for premium bonds under the assumption that taxpayers elect the amortization of the premium on a straight line basis as a deduction from regular taxable income. The author asserts that there are two parts of a bond pricing equation—one for discounts and par bonds and another for premium bonds. Additionally, the author discusses the coupon effect on yield to maturity and disproves Caks' method for deriving zero coupon discount rates from bond pairs.

Tests an asset pricing model, where the rate of return on a certain type of bond will be correlated with charges in the marginal utility of the representative investor, using bond market data from the United States between 1973 and 1995. Model performance for the period where the Federal Reserve's focus was on interest rates; Model performance when focus was on the money supply.

When revenue is low, municipalities often use general obligation or special revenue bonds to meet their budgetary needs. In issuing bonds, municipalities promise to repay bondholders; however, when a municipality files for Chapter 9 bankruptcy, repayment may be prolonged or even precluded. Special revenue bond repayment is subject to the "necessary operating expenses" of the municipality, as established by 11 U.S.C. § 928. However, the Bankruptcy Code leaves this phrase undefined. This Comment attempts to assign meaning to this phrase through an analysis of the Jefferson County, Alabama, bankruptcy. This Comment further identifies factors that investors should consider before purchasing municipal bonds to ensure a return on investment. [ABSTRACT FROM AUTHOR]

States and municipalities throughout the United States depend on the municipal bond market to raise funds for important investments in America's schools, roads and highways, hospitals, utilities, and public buildings. Additionally, many individuals rely on municipal bonds as a dependable investment. Evidence suggests, however, that state and local governments that borrow money by issuing bonds and ordinary investors who buy those bonds may pay billions of dollars each year in unnecessary fees, transactions costs, and interest expense due to the lack of both transparency and liquidity in the municipal bond market. The liquidity cost alone represents approximately $30 billion per year on the current $2.9 trillion stock of outstanding bonds. This paper proposes the establishment of CommonMuni, a nonprofit, independent advisory firm that would reduce borrowing costs for municipalities and increase returns for investors by over-coming the difficulty individual municipalities and investors have in coordinating their actions and sharing market knowledge. CommonMuni would provide individualized advice, gather and disseminate information on bond issuers and transaction prices to increase transparency, and coordinate market participants to enhance liquidity in the municipal bond market. Importantly, CommonMuni could be started for roughly $25 million, or just a tiny fraction of the potential benefits. [ABSTRACT FROM AUTHOR]

We analyse the relationship between credit default swap (CDS), bond and stock markets during 2000–2002. Focusing on the intertemporal co-movement, we examine monthly, weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa. Third, the CDS market is more sensitive to the stock market than the bond market and the strength of the co-movement increases the lower the credit quality and the larger the bond issues. Finally, the CDS market contributes more to price discovery than the bond market and this effect is stronger for US than for European firms. [ABSTRACT FROM AUTHOR]

This article investigates the presence of long memory in bond yield spreads, looking at the spread between Moody's Baa and Aaa corporate bond yields as well as the spread between each of these series and the 10-year Treasury bond yield. Using the aggregated series and wavelet OLS estimator methods, the authors test the hypothesis that yield spreads follow a fractionally integrated process. We find significant evidence of the presence of long memory in these spreads, which suggests that a time element exists and should he accounted for when analyzing yield spreads, making investment allocation decisions, or using yield spreads as forecasting tools. [ABSTRACT FROM AUTHOR]

The article explores the effectiveness of duration models in analyzing the future performance of the securities market in the U.S. It proves that the higher-order terms in price elasticity models are not essentially the same as the additional factors in bond return models. Duration models are established by differentiating the value of an investment fund accrued over a particular period in relation to a change in the term structure during the period. The researchers suggest that duration models are effective tools for security analysis if correctly positioned.

The article presents the results of an equilibrium model created to analyze the pricing of U.S. government bonds for the period of 1958-1979. The bond pricing model relies on the assumption that there are only two independent stochastic factors which are two interest rates; the short rate and the consol rate. These determine bond prices and the shape and position of the yield curve at any point of time. The model also considers Arbitrage Pricing theory, the term structure of interest rates, and the relative rates of return on bonds with different coupons and maturities.

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The article determines whether zero coupon bonds and other original issue discount bonds (OIDB) issued before July 1, 1982 may provide potential profit opportunities to investors. Non-taxable holders of such bonds may be able to sell them before maturity date at attractive prices, producing a much higher-than-expected rate of return over their holding period while taxable investors may be able to buy these bonds at prices that produce attractive after-tax returns. There is a difference between the linear accretion schedule used by the U.S. Internal Revenue Service (IRS) and the market accrual schedule and this difference can become profit opportunities. As an OIDB becomes seasoned, the discrepancy between the IRS benchmark price and the price to yield widens, which increases the potential capital gain of the second buyer. Since capital gains are valuable to taxable investors, taxable buyers who avoided the new OIDB will become interested in OIDB in the secondary market.

The 1970s were associated with very low real interest rates and a large drop in equity values relative to dividends and earnings. This paper explores the possible roles of increased risk and reduced productivity growth in accounting for the behavior of bond and stock prices in a simple general equilibrium model. Both disturbances unambiguously lower the riskless interest rate, but may cause the stock market to respond perversely depending on the degree of aversion to intertemporal substitution and the share of the corporate sector in total wealth. [ABSTRACT FROM AUTHOR]

The article presents a method of modeling the term structure of interest rates using exponential splines. After providing an explanatory overview of the term structure and related concepts, the authors develop a model for the term structure that define the price and accrued interest for a bond in terms of the discount function, instead of spot or forward rates. Furthermore, the model assumes that all bonds have yields whose residual errors have identical variances. A transform is applied to the argument of the discount function, thus rendering it more amenable to splines.

This article focuses on the statistical series of yields of corporate bond issues and Treasury securities in the U.S. between 1951 and 1961. The author compares the weekly Friday yields, as published in the "Wall Street Journal," of corporate bonds rated Aaa, Aa, A, and Baa by Moody's, for both recently issued corporate bonds and outstanding corporate bonds, also called "seasoned issues." The author also compares yields of corporate bonds with 91 day U.S. Treasury bill discount rates and 15 year Treasury long-term bonds.

We examine the profitability of U.S. aircraft manufacturers, their stock returns over the sample period, and their stock reaction to important events during the Korean War. Aircraft stocks responded favorably to events implying a continuation of the war and negatively to events implying a cessation of hostilities. Furthermore, their accounting profits improved substantially relative to pre-war years and to the median of the largest 500 U.S. corporations. This increase may explain why annualized returns for aircraft firms were greater than the overall market during the war. However, these higher returns were not “excessive” based on the Carhart four-factor alpha. [ABSTRACT FROM AUTHOR]

Examines the changes in prices of foreign sovereign dollar bonds over several weeks in 1930 that marked the legislative progress of the Smoot-Hawley tariffs in the United States. Use of the Bond Record of the New York Stock Exchange report in the `Commercial and Financial Chronicle' periodical; Methodology; Conclusions.