Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....

I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are not constrained by a lower bound. Using dynamic term structure models and event study regressions I find that...

We estimate the term premium implicit in 10-year Mexican government bonds from 2004 to 2019, and analyze the main determinants explaining its dynamics. To do so, we decompose the longterm interest rate into its two components: the expected short-term interest rate and the term premium. The...

We estimate the term premium implicit in 10-year Mexican government bonds from2004 to 2019, and analyze the main determinants explaining its dynamics. We decomposethe long-term interest rate into its two components: the expected short-terminterest rate and the term premium. The first is obtained...

In this paper we decompose Turkish Lira interest rates into expected short rate and term premium components, using two well-established methods. Then we focus on the impact of the share of foreign investors on bond yields by instrumenting that share with VIX and Merry Lynch option volatility...

In line with term structure theory, empirical studies suggest that it is difficult to beat the random walk in forecasting long-term interest rates. We ask whether consumer survey data on both mortgage interest rates and expected inflation help beat the random walk in forecasting the 30-year...

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...