autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after …

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in … March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … all factors. Third, we estimate the efficient price for each factor common to both yield curves using a time …

In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the … factor loadings in the Nelson–Siegel yield model depend on a single loading parameter that we treat as the fourth latent …