Reference rate markets are a central feature in capital markets around the world that enable lenders to expand financing possibilities for the business sector and reduce exposure to risks of unexpected changes in the interest rate. However, due to the many manipulations of reference rates...

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...

This study derives the dynamics of two macroeconomic factors which determine the real rates in the economy by estimating CPI-indexed bonds yields. The proposed macro-yields model emphasizes the links between macroeconomic variables and the state variables derived from the affine term-structure...