I compare term premium estimates from long and short memory term structure models against formal tests. I show that both models produce similar and plausible term premium estimates. I also discuss various methodological innovations for formulating and estimating long memory models and present...

This study examines the predictive power of the Delta Yield Curve in anticipating recessions in the U.S. economy, focusing on the difference between "US treasury securities at 10-year constant maturity" and "market rate on 3-month treasury bills" from 1962 to 2023. It identify three sequential...

This study analyzes the long-term government bond yields in OECD member countries over time and estimates the factors that affect these yields. The explanatory factors are divided into three groups: Structural factors that dictate the natural interest rate; cyclical factors that follow the...

The paper outlines Monte-Carlo simulation procedures for the pricing of swaptions under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (2022). In particular, the forward measure dynamics of term structure factors are derived, leading to a semi-analytic...

Using U.S, data, Sharifkhani and Simutin (2021) show that industry shocks propagating along this intersectoral trade network can feed back to the originating industry, causing an “echo”–intermediate-term autocorrelation in returns. This "echo" effect is stronger in industries with strong...

In this article, we test performance persistence and volatility fluctuations of the prices of the treasury note futures contracts based on the US term structure of interest rates. The sample investigated is over the period 2010 to 2020. We test 50 Treasury note futures commodity trading...

Using monthly data for Belgium, France, Germany, Italy and Spain for the period 2002-2019, we build a Hierarchical Euro Area Dynamic Nelson-Siegel model that allows for time varying exposures of national factors on the common components, and for stochastic volatility both at the regional and...

For much of the past two decades, interest rates have fallen in Canada (and elsewhere). At the time of writing, however, with inflation well above the Bank of Canada’s 2 percent target, we are headed in the opposite direction. Where we will land over the long haul is unclear. However, it is...

We estimate short-run reactions of government bond spreads of selected EU countries to prime ministers' and finance ministers' public statements about fiscal policy from 2000 to 2019. Our dataset, which is based on the Factiva database, covers news that reached the markets via Reuters. Depending...