in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …

We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset …

This paper provides a brief survey of the relationship between the yield curve and future changes in interest rates and … inflation. The expectations hypothesis of the term structure indicates .that when the yield curve is upward sloping, future … hypothesis, yield spreads are positively correlated with future changes in short-term interest rates, particularly at long …

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a …

Using a century of data, we show that Treasury convenience yield and inflation comove positively during the …

counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the … monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates …/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity …

method unifies non-parametric curve estimation with cross-sectional factor modeling. We identify smoothness as a fundamental …

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been … paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no … poorly. Instead, we use variations on the Nelson-Siegel exponential components framework to model the entire yield curve …