their real and inflation counterparts. We extract these terms from the yield curve of the U.S., Euro Area, U.K., and Japan … using a term structure model that explicitly captures the interrelation between yield factors and macroeconomic conditions … while allowing for aggregate stochastic volatility. We find that the bulk of yield dynamics comes from short rate …

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … structure and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating the … model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and …

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May … yield volatility. For a positive γ, the results suggest the possibility of a "leverage effect" that is markedly different …