Xing, Bingxin Ann; Feunou, Bruno; Nongni-Donfack, Morvan; … - 2024 - Last updated: April 17, 2024
. Next, we estimate a macro-finance affine term structure model linking the daily news to lower-frequency changes in bond …This paper investigates the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term … structure of interest rates in Canada, Sweden and the United Kingdom. We follow two complementary approaches: First, we apply a …