Nelson-Siegel model, which effectively captures the three dimensions of the yield curve. To forecast the factors, we applied …

autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …

The standard way to summarize the yield curve is to use the first three principal components of the yield curve … components of yield changes, which correspond to changes in level, slope and curvature. The new factors based on changes in … yields have strong predictive power for bond risk premia, in contrast to the factors based on yield levels. We also provide …

of the EFSF curve and the swap curve allows to further identify the liquidity and credit components of both yield curves …

economic activity are especially valuable to decision makers. This paper examines the predictive power of the yield spread, one … of the most reliable indicators for gross domestic product (GDP) growth. Despite the continuously high level of yield … significantly enhances the in- and out-of-sample predictive power of the yield-spread approach. Ordinary least squares (OLS) and …