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Level, slope, curvature of the sovereign yield curve, and fiscal behaviour

Afonso, António; Martins, Manuel M.F. - In: Journal of Banking & Finance 36 (2012) 6, pp. 1789-1807

We study fiscal behaviour and the sovereign yield curve in the US and Germany. We obtain the latent factors, level, slope and curvature, with the Kalman filter, and use them in a VAR with macro, fiscal and financial stress variables. In the US, fiscal shocks generate an immediate response of the...

Persistent link: https://www.econbiz.de/10011065694

On the factor structure of bond returns

Crump, Richard K.; Gospodinov, Nikolaj - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 295-314

Persistent link: https://www.econbiz.de/10012821679

JGBs' chronically low nominal yields : a VEC approach

Akram, Tanweer; Li, Huiqing - In: Applied economics 52 (2020) 53, pp. 5873-5893

Persistent link: https://www.econbiz.de/10012308338

Budgetary decomposition and yield spreads

Afonso, António; Jalles, João Tovar - In: Applied economics letters 23 (2016) 13/15, pp. 1093-1098

Persistent link: https://www.econbiz.de/10011629630

Expectations and risk premia at 8:30 a.m. : deciphering the responses of bond yields to macroeconomic announcements

Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 27-42

Persistent link: https://www.econbiz.de/10012179494

Fiscal developments and financial stress : a threshold VAR analysis

Afonso, António; Baxa, Jaromír; Slavík, Michal - In: Empirical economics : a journal of the Institute for … 54 (2018) 2, pp. 395-423

Persistent link: https://www.econbiz.de/10011949253