We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net...

As financial markets transition from the London Interbank Offered Rate (Libor) to alternative benchmark rates, lenders in floating rate debt lose the hedging benefits provided by Libor because the alternative reference rates are credit-insensitive overnight rates. Comparing the yield spreads of...

This paper develops a general framework for deriving an arbitrage-free interest rates term structure related to long maturities that are not observed (traded) in the market. The original contribution is that the obtained long-term curve depends on variables that can be observed in the market or...

We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...

This paper analyzes the information and risk transmission mechanism in the U.S. Treasury with different maturities than previous studies which focused on the spread between short- and long-term rates. We find that 5-year Treasury bond yields play the role of information transmitter, conveying...

The highly asymmetric reaction of euro area yield curves to the announcement of the ECB’s pandemic emergency purchase programme (PEPP) is hard to reconcile with the standard 'duration risk extraction' view of the transmission of central banks’ asset purchase policies. This observation...

We apply recently developed tests of information sufficiency in structural VARs to extract fundamental structural shocks to the yield curve. A medium-scale specification properly augmented with information on inflation expectations improves the sufficiency test for all specifications we...

The COVID-19 pandemic disrupted the asset-backed securities (ABS) market, resulting in higher spreads on ABS and briefly halting the issuance of some ABS. On March 23, 2020, the Federal Reserve established the Term Asset-Backed Securities Loan Facility (TALF) to support the flow of credit to...

We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net...

We estimate the presence of financial investors in commodity futures markets from deflections in the term structure. We argue that large-scale inflows from financial investors cause systematic deviations in nearby futures contracts that reflect excessive buying pressure in commodities. We...