We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...

This paper examines the dynamic properties of Asia-Pacific local currency sovereign bond yields and risk premiums. We focus, in particular, on the properties and interactions of components of bond risk premiums that are due to credit spreads and exchange rates. We find that local variables are...

What explains the sharp movements of the yield curve in response to major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements...