This study examines whether and how news sentiment about interest rate changes predicts bond risk premia in a leading emerging market, Korea, where sovereign bond yields set benchmarks for other domestic bonds. Using machine learning techniques, we construct the monthly Bond News Sentiment Index...

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...

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 study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as...