Oprea, Andreea - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-37
25 March 2022, the first principal component explained 80.83% of the yield curve changes, the first two 91.92%, and the … years increase more than those at 2 years, leading to yield curve steepenings. Interestingly, we observe that the …) trading signals and to assess the historical plausibility of yield curve shocks. We found that while both explanatory power …