Search Results - subject_exact:"Yield curve"

Self-driving neural networks for term structure modeling

Kooiker, Sicco; Brummelen, Janneke van; Schaumburg, Julia; … - 2026

We propose a factor model with time-varying loadings for term structure modeling and fore casting. While maintaining the interpretation of the factors as level, slope, and curvature through explicit identification restrictions, we allow the loadings to take flexible shapes by specifying them as...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611785

US yield curve shift and slope shocks : domestic transmission and global spillovers

Kumar, Abhishek - 2026

We identify two novel US monetary policy shocks by combining high-frequency surprises around policy announcements with an estimated yield curve. The first, termed the shift shock, generates a humpshaped movement of the yield curve in the US without altering its slope. The second, the slope...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651879

The impact of negative interest rate policy on interest rate formation and lending

Haba, Shunsuke; Ito, Yuichiro; Kasai, Yoshiyasu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330615

Generating the term structure of interest rates with diffusion models

Fukunishi, Yosuke; Qiu, Haorong; Takahashi, Akihiko; Ye, Fan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467236

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Generating the term structure of interest rates with diffusion models

Fukunishi, Yosuke; Qiu, Haorong; Takahashi, Akihiko; Ye, Fan - 2025 - Revised version:November 30, 2025

Edition: Revised version:November 30, 2025

Book / Working Paper

Ex ante bond returns and time-varying monotonicity

Yahyaei, Hamid; Singh, Abhay; Smith, Tom - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405693

Predicting the Canadian yield curve using machine learning techniques

Rayeni, Ali; Naderi, Hosein - 2025

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....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015462915

Solving the yield puzzle : building Lithuania's term structure from the fragmented data

Kaminskas, Rokas; Reichenbachas, Tomas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015446096

Macroeconomic drivers of Brazil's yield curve

Araújo, Gustavo Silva; Vicente, José Valentim Machado; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015597274

Determinants of the risk premium in Brazilian nominal interest rates

Araújo, Gustavo Silva; Vicente, José Valentim Machado; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604398

The asymmetric and persistent effects of Fed policy on global bond yields

Adrian, Tobias; Gelos, Gaston; Lamersdorf, Nora; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014634967

Are term premiums predictable in Central European countries? : the forward rates agreements (FRA) application

Makovský, Petr - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014551375

Comparing term structure estimation techniques : an exercise with Brazilian data

Stivali, Matheus; Fiorucci, José Augusto; Matsushita, … - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015076001

Robust difference-in-differences analysis when there is a term structure

Nyborg, Kjell G.; Woschitz, Jiri - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015571154

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Robust difference-in-differences analysis when there is a term structure

Nyborg, Kjell G.; Woschitz, Jiri - 2024

Book / Working Paper

Robust difference-in-differences analysis when there is a term structure

Nyborg, Kjell G.; Woschitz, Jiri - 2024

Book / Working Paper

The price of money: the reserves convertibility premium over the term structure

Nyborg, Kjell G.; Woschitz, Jiri - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014486914

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The price of money : the reserves convertibility premium over the term structure

Nyborg, Kjell; Woschitz, Jiri - 2023

Book / Working Paper

The term structure of interest rates in a heterogeneous monetary union

Costain, James; Nuño, Galo; Thomas, Carlos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015474353

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The term structure of interest rates in a heterogeneous monetary union

Costain, James; Nuño, Galo; Thomas, Carlos - 2024

Book / Working Paper

The term structure of interest rates in a heterogeneous monetary union

Costain, James; Nuño, Galo; Thomas, Carlos - 2024

Book / Working Paper

The term structure of interest rates in a heterogeneous Monetary Union

Costain, James; Nuño, Galo; Thomas, Carlos - 2022

Book / Working Paper

The term structure of interest rates in a heterogeneous monetary union

Costain, James; Nuño, Galo; Thomas, Carlos - 2022

Book / Working Paper

The Term Structure of Interest Rates in a Heterogeneous Monetary Union

Costain, James; Nuño, Galo; Thomas, Carlos - 2022

Book / Working Paper

The Term Structure of Interest Rates in a Heterogeneous Monetary Union

Costain, James; Nuño, Galo; Thomas, Carlos - 2022

Book / Working Paper

The determination of bank interest rate margins : is there a role for macroprudential policy?

Davis, E. Philip; Karim, Dilruba; Noel, Dennison - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015486017

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The determination of bank interest rate margins : is there a role for macroprudential policy?

Davis, E. Philip; Karim, Dilruba; Noel, Dennison - 2024

Book / Working Paper

Across the borders, above the bounds : a non-linear framework for international yield curves

Coroneo, Laura; Kaminska, Iryna; Pastorello, Sergio - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015050688

Movements in yields, not the equity premium : Bernanke-Kuttner redux

Nagel, Stefan; Xu, Zhengyang - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052545

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Movements in Yields, not the Equity Premium : Bernanke-Kuttner Redux

Nagel, Stefan; Xu, Zhengyang - 2024

Book / Working Paper

Optimal empirical strategy for deriving the spot curve : the case of Poland

Bartkiewicz, Piotr - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334711

Foreign exchange interventions and intermediary constraints

Ferreira, Alex Luiz; Mullen, Rory; Ricco, Giovanni; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015662957

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Foreign exchange interventions and intermediary constraints

Ferreira, Alex Luiz; Mullen, Rory; Ricco, Giovanni; … - 2024

Book / Working Paper

Sovereign risk and economic complexity

Gómez González, José Eduardo; Uribe, Jorge; … - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014536288

The impact of macroeconomic news sentiment on interest rates

Audrino, Francesco; Offner, Eric A. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014543983

The influence of fiscal and monetary policies on the shape of the yield curve

Chang, Yoosoon; Gómez-Rodríguez, Fabio; Matthes, Christian - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014578033

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The influence of fiscal and monetary policies on the shape of the yield curve

Chang, Yoosoon; Gómez-Rodríguez, Fabio; Matthes, Christian - 2023

Book / Working Paper

The influence of fiscal and monetary policies on the shape of the yield curve

Chang, Yoosoon; Gómez-Rodríguez, Fabio; Matthes, Christian - 2023

Book / Working Paper

A rotated dynamic factor model for the yield curve: Squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619108

Self-driving neural networks for term structure modeling

Kooiker, Sicco; van Brummelen, Janneke; Schaumburg, Julia; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619462

The effects of increased Korea Treasury Bond issuance on the yield curve

Kim, Meeroo; Hong, Jong Soo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015655006

When long-run trends are unknown : bond pricing implications

Ahonon, Borel; Roussellet, Guillaume - 2026

We propose a macro-finance model in which inflation, growth, and the policy rate are driven by unobservable long-run trends and transitory cycles that investors must infer from aggregate data. Their subjective estimates of these trends, and the uncertainty surrounding them, are priced into the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618078

Repo market networks : dynamics under financial stress

Schöller, Vanessa - 2026

The smooth functioning of the repo market is essential to financial stability. However, the market has faced repeated episodes of stress in recent years. This paper examines the resilience of the euro-denominated repo market during recent episodes of elevated financial stress, drawing on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618106

Sovereign bond spreads and climate risk : an empirical analysis in the Euro Area

Capriotti, Alessio; Muzzioli, Silvia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654388

Long memory in Latin American sovereign risk : daily evidence on the EMBI

Asturias Schaub, Luis Rodrigo; Caporale, Guglielmo Maria; … - 2026

This paper analyses the long-memory properties of sovereign bond spreads in 17 Latin American countries as well as two regional aggregates using daily EMBI (Emerging Markets Bond Index) data from April 2013 to January 2026 (3,163 observations per series). Parametric methods show that all 19...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654662

The effects of increased Korea Treasury Bond issuance on the yield curve

Kim, Meeroo; Hong, Jong Soo - 2026

This study examines the impact of the sharp increase in Korea Treasury Bond (KTB) issuance following the COVID-19 crisis and analyzes the effects of bond buybacks as a policy countermeasure. Using a dynamic Nelson-Siegel model with macroeconomic factors, we estimate the effects of changes in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654796

Optimal conventional and unconventional monetary policy mix

Alpanda, Sami; Kabaca, Serdar; Mavromatis, Kostas - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015563940

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Optimal conventional and unconventional monetary policy mix

Alpanda, Sami; Kabaca, Serdar; Mavromatis, Kostas - 2026 - Last updated: June 2, 2026

Edition: Last updated: June 2, 2026

Book / Working Paper

Transfer learning of discount curves between bonds and swaps : an empirical study

Camenzind, Nicolas; Filipović, Damir - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609770

Explaining contract heterogeneity in the credit card market

Chatterjee, Satyajit; Eyigungor, Burcu - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609891

A market-based assessment of the outlook for inflation : expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bond-specific liquidity risk premia, this paper provides estimates of bond investors' inflation expectations and associated inflation risk premia in South African sovereign bonds. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612457

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A market-based assessment of the outlook for inflation expectations and monetary policy in South Africa

Christensen, Jens H. E.; Steenkamp, Daan - 2026

Book / Working Paper

Intermediation, Interrupted? Bank-Level Analysis of Interest Spreads in Montenegro

Cevik, Serhan - 2026

Financial intermediation in Montenegro has been on a declining trend since independence, with domestic credit to the private sector decreasing from a peak of 86.5 percent of GDP in 2008 to 46.4 percent in 2024. Net interest margin (NIM)—a common indicator of intermediation costs—has remained...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612601

Monetary policy and private equity acquisitions : tracing the links

Avalos, Fernando; Hofmann, Boris; Serena, José María - 2026 - This version: 19 January 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613610

Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2026

Effective monetary policy requires maintaining the short-term interbank rate close to the policy rate while limiting its volatility, ensuring smooth transmission, and reducing banks' liquidity and interest rate risks. This paper seeks to identify and explain the drivers of volatility in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614335

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Overnight interbank rate volatility across liquidity states : key drivers and policy implications

Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2025

Book / Working Paper

The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

We study the spillovers of large-scale asset purchases (LSAPs) in the U.S. on financial intermediation in the euro area using bank-level supervisory data and high-frequency identified policy surprises. Our detailed panel data permit us to trace the impact of LSAPs through bank balance sheets. We...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592007

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The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

Book / Working Paper

The CDS basis in the European market

Heidorn, Thomas; Klaus, Juergen; Mazzalupi, Riccardo - 2026

The relationship between Credit Default Swaps (CDS) and cash bonds plays a pivotal role in providing market participants with important information which directly affects investment and risk management strategies. Particularly relevant is the CDS-Bond basis, defined as the difference in basis...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015595089

A rotated dynamic factor model for the yield curve : squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643302

Show one more version 1

A rotated dynamic factor model for the yield curve : squeezing out information when it matters

Casoli, Chiara; Lucchetti, Riccardo - 2026

Book / Working Paper

Estimating ultra long-term interest rates with raise regression

Rodríguez-Sánchez, Ainara; Zhang, Hairui; De Ceuster, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591651

Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015578338

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Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2025

Book / Working Paper

A model of network formation for the overnight interbank market : when is core-periphery an illusion?

Anufriev, Mikhail; Deghi, Andrea; Panchenko, Valentyn; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015578346

Interest rate surprises when the Fed doesn't speak

Miranda-Agrippino, Silvia; Williams, John C. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618008

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Interest rate surprises when the Fed doesn't speak

Miranda-Agrippino, Silvia; Williams, John C. - 2026

Book / Working Paper

Inflation targeting and the dynamics of inflation risk premia in South Africa's bond market

Allison, Chloë; Wet, Theuns de - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015624793

Revisiting shadow short-term interest rate models : evidence from the ultra-low interest rate environment in Japan

Oi, Hiroyuki; Shiratsuka, Shigenori; Yoneyama, Shunichi - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626416

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Revisiting shadow short-term Interest rate models : evidence from the ultra-low interest rate environment in Japan

Oi, Hiroyuki; Shiratsuka, Shigenori; Yoneyama, Shunichi - 2026

Book / Working Paper

Revisiting shadow short-term interest rate models : evidence from the ultra-low interest rate environment in Japan

Oi, Hiroyuki; Shiratsuka, Shigenori; Yoneyama, Shunichi - 2026

Book / Working Paper

Risk premiums, market volatility, and exchange rate dynamics : evidence from the Yen carry trade

Guyot, Opale; Montgomery, Heather; Yang, Peiqing - 2026

Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing on how...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638924

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638968

Persistence and long-run linkages between US stock market prices and bond yields

Salazar, Juan Diego Cafferata; Caporale, Guglielmo Maria; … - 2026

This paper uses fractional integration and cointegration methods to examine the persistence and long-run relationship between the S&P 500 index and the nominal yield to maturity of 10-year US Treasury bonds (GS10) over the period from January 1954 to December 2024. The results indicate that both...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639090