In this paper we consider several methods for building the yield curve from swap rates. In particular given the complete list of swap rates, we obtain an analytic formula for the zero rate. A continuous limit of this equation is discussed and used in order to extract the continuous yield curve....

This paper seeks to analyse the impact of government debt and other macroeconomic variables on the long term bond yield for South Africa. Recent increases in the government budget deficit and its corresponding borrowing has renewed interest in understanding fiscal dynamics within the economy....

Recent developments in South Africa warrant a complete understanding of the fiscal dynamics within the economy. The government budget deficit has soured to unprecedented levels pushing the debt to GDP ratio above 60%. We seek to reveal in this paper the impact this has on the South African long...

We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in no-arbitrage...

We model pre-euro Spanish monetary policy and use our findings to assess the compatibility of the interest rates set by the ECB since 1999 with Spanish macrofundamentals. We find that in the 1990s Spain implemented successfully a monetary strategy tailored to its own domestic fundamentals; and...

This study examines the performance of corporate sustainable bonds. Unlike traditional bonds, the proceeds of sustainable bonds are utilized for financing projects to bring about environmental and socio-economic benefits. First, we analyse the market reaction to traditional and sustainable bond...

This paper develops a decentralized theory that determines the fair value of the yield-to-maturity of a bond or bond portfolio based purely on the near-term dynamics of the yield itself. The theory decomposes the yield into three components: its expected change, its risk premium, and its...

In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria....

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...