Nelson-Siegel model, which effectively captures the three dimensions of the yield curve. To forecast the factors, we applied …

Yield curve extrapolation to unobservable tenors is a key technique for the market-consistent valuation of actuarial … inconsistent with observable yield curve dynamics, parsimonious parametric models, the Nelson-Siegel model and its extensions, are … often used for yield curve extrapolation in risk management. However, it is difficult for the parsimonious parametric models …

We show that the slope of the yield curve affects bank lending and economic activity through an "expected bank …, we show that a steeper yield curve-when driven by higher term premiums rather than higher expected short rates …