of yield curve models helps with resolving the puzzles. It also allows us to connect the differences between … international yield curves to characteristics of exchange rates …

spending shock, the government raises the yield curve and steepens it …

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 …

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 …

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 …

dispersion increases, bond prices decrease. Interdealer price dispersion explains a substantial portion of bond yield spread …

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

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 …