This study investigates the risk associated with the uncertainties in the central bank monetary policy targets in the context of short interest rate models. A class of models is proposed which admits two channels of interest rate risk. In a prototypical case, the short duration channel handles...

In this article we examine the relations between risk, the choice of foreign or local contract terms (parameters) and maturity in the sovereign debt market. Our primary finding is that the maturities of bonds that carry a meaningful degree of risk (rating BBB+ and below, which we label Lower...

This paper deals with the effects of loan maturity mismatching on the shape of the yield curve and on the real economy. For this purpose, it defines the not yet established concept of the natural yield curve based on the Austrian theory of the natural interest rate. It uses a framework of...

We extract cyclic information in turnover and find it can explain the momentum “echo”. The reversal in recent month momentum is the key factor that cancels out the recent month momentum and excluding it makes the “echo” regress to a damped shape. Both rational and behavioral theories can...

Using a comprehensive data set of earthquakes in China, we show that investors perceive increased credit risk in quasi-municipal bonds exposed to devastating earthquakes, leading to a significant positive risk premium. Our study identifies that this bias is temporary and decreases as investors...

This study examines whether and how news sentiment about interest rate changes predicts bond risk premia in a leading emerging market, Korea, where sovereign bond yields set benchmarks for other domestic bonds. Using machine learning techniques, we construct the monthly Bond News Sentiment Index...

I compare term premium estimates from long and short memory term structure models against formal tests. I show that both models produce similar and plausible term premium estimates. I also discuss various methodological innovations for formulating and estimating long memory models and present...

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...