I study ways the shift in credit price disclosures from dollar terms to interest rates has impacted consumer and firm behavior. In an experiment, I find that consumers cannot, rather than do not, translate interest rates into cost obligations, causing both underconsumption and overconsumption of...

Decreased real bond yields substantially increase failure rates for portfolios with an initial 4% withdrawal rate. One way to increase the safe withdrawal rate of a portfolio is to decrease the allocation to bonds and to increase the allocation to stocks. Unfortunately, increasing the allocation...

We address two empirical issues related to the long end of the yield curve based on euro swap rates. First, for maturities longer than 20 years we find evidence for an `excess' downward slope that cannot be explained by convexity. Second, volatility at the very long end of the yield curve is...

The transition from a reference rate regime centred on interbank offered rates (IBORs) to one based on a new set of overnight risk-free rates (RFRs) is an important paradigm shift for markets. This special feature provides an overview of RFR benchmarks, and compares some of their key...

We extrapolate interest rate yield curves for the purpose of discounting very long-dated pension liabilities and insurance contracts. The extrapolation uses a no-arbitrage term structure model estimated on liquid euro swap instruments with maturities between 5 and 20 years. The extrapolation...

Interest rates are one of the main risk factors for insurance companies. Both assets and liabilities react to the movement of interest rates. Therefore, it is essential to have an adequate model of interest rates for Solvency II applications. Here, we address some of the existing issues under...