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This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light...
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We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve … principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash … flows are covariances, as cash flows of coupon bonds fully explain the factor exposure. The term structure premium depends …
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