reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …

structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used … slope of the yield curve are robust predictors of excess bond returns, and there is no robust and convincing evidence for …

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables …

largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …