In this paper we examine the explanatory and predictive power of interest rate volatility on the economic agent expectations measured by the Economic Sentiment Indicator (ESI), which is elaborated by the European Commission as a leading indicator of business cycle. In particular, we use implicit...

Many papers have documented the positive relationship between the slope of the yield curve and future real economic activity in different countries and different time periods. One explanation for this economic link is based on monetary policy. However, empirical evidence (Estrella and...

The paper examines the factors which explain the liquidity premium in the Spanish government securitites market. First, we study the degree of liquidity and the relationship to the factors it depends on, observing the differences between two kinds of assets, bills and notes, and between two...

The aim of this paper is the analysis of the yield spreads between Treasury and non-Treasury Spanish fixed income assets and its relationship with the term to maturity. We find a downward sloping term structure of yield spreads for investment-grade bonds that seem to be contrary to the...