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

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

Generating the term structure of interest rates with diffusion models

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015553639

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Generating the term structure of interest rates with diffusion models

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

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

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

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

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

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

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

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

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 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

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

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

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

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

Sensitivity of the Euro OIS term structure to ECB policy rate surprises

Herzel, Stefano; Nicolosi, Marco - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633391

Different no more : country spreads in advanced and emerging economies

Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes; … - 2026

Interest rate spreads vary widely across time and countries and are a central driver of business cycles in emerging market economies (EMEs). Since 2008, advanced market economies (AMEs) have exhibited persistently higher and more volatile spreads, alongside increased macroeconomic volatility and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633716

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Different no more : country spreads in advanced and emerging economies

Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes; … - 2020

Book / Working Paper

Different no more: country spreads in advanced and emerging economies

Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes; … - 2020

Book / Working Paper

Different no more: country spreads in advanced and emerging economies

Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes; … - 2020

Book / Working Paper

Different No More : Country Spreads in Advanced and Emerging Economies

Born, Benjamin - 2020

Book / Working Paper

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

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

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

Interest rate surprises when the Fed doesn't speak

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

The predictability of monetary policy surprises based on past, public information has been interpreted in two related yet fundamentally different ways. The "Fed information effect" posits that it arises due to markets updating their view of the economy, based on signals implicitly revealed by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604652

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Interest rate surprises when the Fed doesn't speak

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

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

Institutional ownership and bond pricing : evidence from China

Wang, Yulin; Zhang, Xueying; Walker, Thomas; Liedtke, Gerrit - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559920

Global risk aversion and the term premium gap in emerging market economies

Flaccadoro, Marco; Villa, Stefania - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561050

Optimal conventional and unconventional monetary policy mix

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

This paper examines the optimal coordination of conventional and unconventional monetary policy tools in an economy with heterogeneous households and mortgage debt. We build a dynamic stochastic general equilibrium (DSGE) model featuring three household types-savers, borrowers, and renters-and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015655730

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Optimal conventional and unconventional monetary policy mix

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

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

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573684

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

Bail-in or bailout? : regulatory power in coco bond yields

Chen, Jiacheng; Farkas, Walter; Lucescu, Patrick - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640041

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636702

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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

A new functional setting for term structure modeling using the Heath-Jarrow-Morton framework

Pokojovy, Michael; Nkum, Ebenezer; Fullerton, Thomas M. - 2026

The well-known Heath-Jarrow-Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitrage conditions. Existing implementations involve...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640561

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

Modeling the probability of default term structure using different methodologies under IFRS 9

Moremoholo, Kgotso Rudolf; Shongwe, Sandile Charles; … - 2026

To mitigate credit risk, banks are required to set aside a specific amount as a safety net to absorb the expected loss on a banks' loan portfolio called loan loss provisions (LLPs) or provisions for bad debts. All banks worldwide had to adopt International Financial Reporting Standard 9 (IFRS 9)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643351