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...

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...

After the crisis that has affected financial markets in 2007-2009, the Financial Stability Board (FSB) initiated a process of reform for the principal interest rate benchmarks. This operation aimed to address concerns about the robustness and integrity of the existing benchmarks, the Interbank...