This study applies machine learning methods to predict the Canadian yield curve using a comprehensive set of macroeconomic variables. Lagged values of the yield curve and a wide array of Canadian and international macroeconomic variables are utilized across various machine learning models....

We use a proprietary dataset of daily quotations of individual bonds from the period 2005-2018 to assess the appropriateness of three common yield curve intrapolation methods: Nelson-Siegel (NS), Diebold-Li (DL) and cubic splines. Spot (zero-coupon) yield curves derived from the methods are used...

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...

This text evaluates the empirical models of the Term Structure of Interest Rates (TSIR), comparing the resulting estimates regarding goodness-of-fit, robustness to outliers, and smoothness. In addition to the descriptive statistics on these metrics, the Friedman test and the multiple comparison...

This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...

We develop a new series of Canadian monetary policy shocks and analyze their impact on inflation and real GDP from 1996-2020. Our shocks are constructed as the daily change in the Nelson-Siegel yield curve factors after a monetary policy announcement. Because these shocks include information...

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...

• This study analyzes capital market reactions to Germany's recent announcement of loosening fiscal restrictions for defense and state-level spending, while establishing a €500 billion infrastructure investment fund. In particular, we examine whether surging Bund yields reflect growth...

• Diese Studie analysiert die Reaktionen der Kapitalmärkte auf Deutschlands jüngste Ankündigung, fiskalische Beschränkungen für Verteidigung und Ausgaben auf Länderebene zu lockern - und gleichzeitig ein 500-Milliarden-Euro-Investitionsfonds für Infrastruktur einzurichten. Insbesondere...

This study examines the relationship between sovereign spreads and banks in terms of risk transmission, using the seven largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility spillovers, and to investigate whether bank-specific...

This International Finance Corporation (IFC) Research Note analyzes the cost of borrowing for firms in emerging and developing economies, changes in their debt structure, and indicators of indebtedness and profitability. It finds reasons for optimism on their resilience, while noting that...

Based on an analysis of changes in the yields of German government bonds, we propose a simple model for the term structure of interest rates and show empirically that this model with two parameters (relating to the interest level and slope of the term structure) fits empirically well the data...

Emerging markets have long been viewed as high-risk destinations for investment, particularly investments in companies. Although macroeconomic and political stability risks are higher, this perception also reflects project-level risks, or uncertainty about repayment prospects. Investors, with...

This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson-Siegel model, which effectively captures the...

Using high-frequency macro data from a financially deregulated regime, this paper examines whether there is any evidence of financial crowding out in India. The macroeconomic channel through which financial crowding out occurs is the link between the fiscal deficit and the interest rate...

This paper introduces a business cycle model that integrates financial markets and endogenous financial volatility at the Zero Lower Bound (ZLB). We derive three key insights: first, central banks can mitigate excess financial volatility at the ZLB by credibly committing to future economic...

This paper models the dynamics of long-term Chinese government bond (CGB) yields based on an autoregressive distributive lag (ARDL) approach. It examines whether the current short-term interest rate has a decisive influence on long-term CGB yields, after controlling for various macroeconomic...