This paper investigates whether information from foreign yield curves helps forecast domestic yieldcurves out-of-sample. A nested methodology to forecast yield curves in domestic and internationalsettings is applied on three major countries (the US, Germany and the UK). This novel methodologyis...

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result,...

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a certain period of time changed radically. As a result,...