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 …

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 …

significant impact of the CSPP on yield spreads, both directly on purchased and targeted bonds and indirectly on all other bonds ….The magnitude and the timing of the changes in yield spreads, coupled with the evolution of bond placements, are fully consistent …