When examined for the period 1985-1992 as a whole, the impact of changes in the targeted Fed funds rate on U.S. treasury bill rates has been weaker than during previous periods. The period, however, should be viewed as three separate regimes. First, I show significant differences between the...

This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...

Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...