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...

In this article, we test performance persistence and volatility fluctuations of the prices of the treasury note futures contracts based on the US term structure of interest rates. The sample investigated is over the period 2010 to 2020. We test 50 Treasury note futures commodity trading...

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 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...

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

This paper studies the emergence of sovereign bond yield spreads in the Eurozone prior to the financial crisis. While spreads were close to zero in European government debt markets until the mid-2000s, they have persistently widened since then in many member states. We employ a...