This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a,LS) to estimate the risk-neutral density (RND) of the futur short-term interest rate. The resulting RND can be interpreted as the market´s estimate of the density of the future short-term...

International linkages between interest rates in different currencies are strong, and ultra-low rates have become a global phenomenon. This paper compares how interest rates in advanced economies and in emerging economies are conditioned by two global benchmarks - the Federal funds rate at the...

Bond portfolio outflows from emerging market economies (EMEs) are typically associated with currency depreciation and rising domestic long-term interest rates. This relationship asserted itself in a particularly stark way during the Covid-19 crisis in mid-March 2020. The impact of bond portfolio...