We propose a highly optimized latent factor representation of the yield curve obtained by training a variational autoencoder (VAE) to curve data from multiple currencies. A curious byproduct of such training is a "world map of latent space" where neighbors have similar curve shapes, and distant...

The paper investigates determinants driving the banks to shifts between their interest–based and non interest–based activities under the influence of various monetary regimes and debt policies. Bank sectors of Poland, as low inflationary environment and Ukraine, as high inflation...

Modeling interest rates over samples that include the Great Recession requires taking stock of the effective lower bound (ELB) on nominal interest rates. We propose a flexible time– series approach which includes a “shadow rate”—a notional rate that is less than the ELB during the period...

Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply...

To assess the Bank of England Monetary Policy Committee decisions about the Official Bank Rate under forecast uncertainty, I estimate simple forecast-based interest rate rules augmented by the forecast standard deviations recovered directly from the Inflation Report fan charts. I find that...

To assess the Bank of England's Monetary Policy Committee decisions on the official bank rate under forecast uncertainty, I estimate simple forecast-based interest rate rules augmented by the exact forecast standard deviations recovered directly from the Inflation Report fan charts. I find that...

The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates based on rolling windows from observed financial market data. The novelty, apart from the use of those models not for pricing but for forecasting the...

No-arbitrage dynamic term structure models (DTSMs) have regularly been used to estimate interest rate expectations and term premia, but are beset by empirical challenges. I propose augmenting DTSMs with overnight indexed swap (OIS) rates to better estimate the decomposition along the term...