We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset …

This paper provides a brief survey of the relationship between the yield curve and future changes in interest rates and … inflation. The expectations hypothesis of the term structure indicates .that when the yield curve is upward sloping, future … hypothesis, yield spreads are positively correlated with future changes in short-term interest rates, particularly at long …

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a …

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been … paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no … poorly. Instead, we use variations on the Nelson-Siegel exponential components framework to model the entire yield curve …

yield differentials: one due to expectations of exchange rate depreciation -- which we call the exchange rate factor …