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 …

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …

, 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 …

model outperforms significantly most structural and non-structural Macro-Finance yield curve models in terms of cross …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …, have a statistically and economically significant impact on the yield curve. The impact of financial shocks extends …

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 …