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 …

This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … yield spreads in all PIIGS countries but Italy before September 2008; markets respond more to negative news, and their … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public … declining degree to which the ECB surprised markets and the increasingly burdensome institutional set-up of the APP. While yield …

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries' bond yield …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …-specific news have a significant impact on GIIPS yield spreads. A higher share of positive/negative news is positively associated …

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … the US Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …