Human interaction is largely centered on interactions at home, school, work, and shopping. This economically-motivated partial spatial compartmentalization of our lives, in particular the persistent and recurring interaction with a very limited number of people, is surely of first-order...

Interest rate forecasting remains vexing because of the lower bound. A few tractable models are available, but they offer limited or restrictive volatility dynamics. In response, we build on the popular dynamic Nelson-Siegel approach to greatly expand the space of term-structure models that are...

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a country's U.S. dollar debt and an equivalent U.S. Treasury bond. We explain the variation in these sovereign spreads with four factors: global economic conditions,...

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a country's U.S. dollar debt and an equivalent U.S. Treasury bond. We explain the variation in these sovereign spreads with four factors: global economic conditions,...

We greatly expand the space of tractable term-structure models. We consider one example that combines positive yields with rich volatility and correlation dynamics. Bond prices are expressed in closed form and estimation is straightforward. We find that the early stages of a recession have...