yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in … March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … all factors. Third, we estimate the efficient price for each factor common to both yield curves using a time …

currencies, but not vis-à-vis emerging market currencies. Moreover, the paper finds evidence that, not only yield differentials …

using high-frequency bond yield data for France, Germany, Italy and Spain. We find that Economic and Monetary Union (EMU …

model does not incorporate latent yield curve factors, but instead uses the common components of a large number of … outperform different benchmark models in out-of-sample yield forecasts, reducing root mean squared forecast errors relative to …

This paper presents a new framework allowing strategic investors to generate yield curve projections contingent on … expectations about future macroeconomic scenarios. By consistently linking the shape and location of yield curves to the state of … the economy our method generates predictions for the full yield-curve distribution under different assumptions on the …

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and …