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 …

interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news …

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

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …

In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread … the debt service ratio in many cases yield substantially better predictive power, in terms of in-sample fit using … proportion of variance explained. Overall, the predictive power of the yield curve, as well as other financial variables, varies …