In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the … factor loadings in the Nelson–Siegel yield model depend on a single loading parameter that we treat as the fourth latent …

We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from … series and for estimating the parameters in the model. We include these factors into a dynamic factor model for the yield … curve, in which we model the salient structure of the yield curve by imposing smoothness restrictions on the yield factor …

Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond … find, that default risks measured via expected debt-to-GDP ratio explain a good stake of the variation of bond spreads in …

This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis … debt ratios relative to Germany contributed to higher government bond yield spreads in the euro area during the analysed …

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence …

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the …

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply … a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is …

spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth … of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond … markets from shock and volatility spillovers in mature markets is real. Although emerging Asian local bond market volatilities …