Why does the short-term slope of the yield curve predict recessions? In this article, we explore the economic forces underlying Treasury yields’ fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the...

The traditional approach to bond portfolio immunization usually assumes that the possible future changes of the term structure of interest rates lie within a suitable parametric class of functions. The quantities of interest are the sensitivities of the portfolio value with respect to these...

Bonds are debt securities issued by debtors to creditors. In short, bonds are debt securities that can be purchased and the buyer will benefit in the form of interest later. The bonds contain the due date for payment of debt and interest. The interest on a bond is called a coupon. Coupons must...

We aim to analyze empirically the long-run interest rate spillovers on the monetary policy of European countries outside the EMU. The analysis covered years from October 1998 to December 2021 and was based on the VEC model and UIP parity, which allowed us to check the potential cointegration of...

Volatility Skew and Smile of Interest Rate products (Swaption and Caplet) are represented by SABR (Stochastic Alpha Beta Rho model). So, the Interest Rate derivatives model for pricing the callable exotic swaps should be comparable to the SABR volatility surface. In the interest rate derivatives...

Obligations are debt securities from the private sector or the government to the public, both domestic and international, with an imbalance of coupons or discounts and principal repayments of more than one year. Coupons are fixed rate or floating rate or a combination of fixed rate and floating rate

Bonds are medium-term and long-term debt securities that can be traded. Bonds contain a promise from the party that issued the shares to pay compensation in the form of interest in a certain period and pay off the principal at the end of a predetermined time, to the buyer of the bonds. Bonds are...

We introduce a real-time measure of conditional biases in firms' earnings forecasts. The measure is defined as the difference between analysts' expectations and a statistically optimal unbiased machine-learning benchmark. Analysts' conditional expectations are, on average, biased upwards, and...

I show that time-varying risk aversion can generate a term structure of equity risk premia that is upward sloping in bad times and downward sloping in good times. I derive three conditions that jointly generate this result. First, risk aversion is negatively correlated with consumption growth....