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 estimate the common factors in the curves in Israel using the principal component analysis (PCA) method. This model was first proposed by Litterman and Scheinkman (1991). They described the movements or changes in the form of the yield curve using three common factors that managed to...

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 currency substitution and indexation infrastructure that has prevailed in Israel for over five decades had its inception before the onset of a major inflationary episode and included only minor and short-lived incidents of outright dollarisation. The present paper suggests that portfolio...

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...