Since the seminal paper of Vasicek and Fong (1982), the term structures of interest rates have been fitted assuming that yields are cross-sectionally homoskedastic. We show that this assumption does not hold when there are differences in liquidity, even for bonds of the same issuer. Lower...

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...

The theoretical literature on term structure models emphasises the importance of the expected absorption of duration risk during the residual life of term bonds in order to understand the yield curve effect of central banks’ government bond purchases. Motivated by this, we develop a...

La literatura teórica de modelos de curva de tipos enfatiza la importancia de la absorción de riesgo de duración esperada durante la vida residual de los bonos para entender el efecto de las compras de activos de los bancos centrales sobre las curvas de tipos. Motivados por esto, construimos...

La literatura teórica de modelos de curva de tipos enfatiza la importancia de la absorción de riesgo de duración esperada durante la vida residual de los bonos para entender el efecto de las compras de activos de los bancos centrales sobre las curvas de tipos. Motivados por esto, construimos...