Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points …

2.5 years at a minutely frequency. The convenience yield on treasuries equals about 40 basis points, is larger below 3 … monetary stimulus reduce convenience yields, particularly during the crisis. We further study convenience-yield-free CIP …

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 …

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 …

"sovereign yield shocks" transmit across countries in the Eurozone. Second, we estimate short-term supply and demand multipliers …

, investment horizon, and yield curve slope differentials. Large-scale purchases of long-maturity bonds lower domestic and foreign …

increase interest rates, flatten the yield curve, and lead to a downward-sloping yield curve on average. In contrast … sufficiently segmented, then persistent money injections decrease nominal interest rates, steepen or even twist the yield curve …, and lead to an upward-sloping yield curve on average …