This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a big dataset (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk...

This paper attempts to evaluate the effects of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the...

Coupon and principal STRIPS maturing at the same date often trade at different yields. This paper analyzes for the first time the maturity structure of these differences for the U.S. Treasury STRIPS market and surprisingly finds that short-term coupon STRIPS persistently trade at lower yields...

Although the federal funds rate started rising from mid-2004 US long term rates continued to fall. A likely contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which accommodate structural breaks, this paper estimates the impact of...

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large dataset that captures the nowadays data-rich environment (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment...

We explore the impact of the COVID-19 pandemic on the term structure of interest rates. Using data from developed and emerging countries, we demonstrate that the expansion of the disease significantly affects sovereign bond markets. The growth of confirmed cases significantly widens the term...

In Canada, COVID-19 pandemic triggered exceptional monetary policy interventions by the central bank, which in March 2020 made multiple unscheduled cuts to its target rate. The aim of this paper is to assess the extent to which Bank of Canada interventions affected the determinants of the yield...

In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...

We are the first to explore the empirical relationship between interest rates and debt supply expectations derived from Treasury press releases. We find that news on expected government bond supply affects bond yields, but only when the news is an accurate reflection of future supply. We exploit...