We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in no-arbitrage...

This paper proposes a new mutual exciting regime-switching model where crises can spread contagiously across countries. Each country has its own hidden stochastic process that determines whether it is in a normal or crisis regime. The mutual-excitation component allows interactions in the Markov...

We find that consumer confidence, proxied by consumers’ expectation of the business condition during the next 12 months, is negatively related to the credit spreads of corporate bonds. This relation cannot be explained by the traditional macro, firm-, and bond-level control variables....

We document the existence of a global monetary policy factor in sovereign bond yields, related to the size of the aggregate balance sheet of nine major central banks of developed economies that have implemented programs of large-scale asset purchases. Balance sheet policies of these central...

Seldom researchers have paid more attention to the impacts of real effective exchange rate regimes on Chinese monetary policy. By building a forward-looking Taylor rule, we have analyzed the relationships between the eight kinds of interest rates and the deviations of the inflation rate from...