The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case … study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a … dynamic Nelson-Siegel model, the results of which are then used to estimate a natural yield curve. Both steps are estimated …

autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily …, yield curve momentum is related to post-FOMC announcement drift. The momentum factor is unspanned by the information in the …

autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily …, yield curve momentum is related to post-FOMC announcement drift. The momentum factor is unspanned by the information in the …

I analyze time series momentum along the Treasury yield curve. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … yield changes are partly induced by changes in the federal funds rate, yield curve momentum is related to post …

The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case … study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a … dynamic Nelson-Siegel model, the results of which are then used to estimate a natural yield curve. Both steps are estimated …

We study the yield curve control in Eurozone. We apply Chen, Cúrdia and Ferrero (2012) model that uses a financial … unconventional monetary policy and fiscal policy are enhanced, when the yield curve control is applied. Thus, we find that the yield … curve control can be an effective tool, if applied in a credible manner for a long enough time period during an effective …

-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 along the entire yield curve, they provide a more comprehensive view of …- ment that monetary policy shocks often twist the yield curve, which tends to make monetary policy less effective …