Capital inflow surges destabilise the economy through a maturity shortening mechanism. The underlying reason is that firms have incentives to redeem their debt on demand to accommodate the potential liquidity needs of global investors, which makes international borrowing endogenously fragile....

We compare parametric and machine learning techniques (namely: Neural Networks) for in-sample modeling of the yield curve of the BRICS countries (Brazil, Russia, India, China, South Africa). To such aim, we applied the Dynamic De Rezende-Ferreira five-factor model with time-varying decay...

The aim of this study is to test the ability of the yield curve on US government bonds to forecast the future evolution in the prices of commodities often used in as raw materials. We consider the monthly prices of nine commodities for more than 30 years. Our findings, confirmed by several...

This paper examines the predictive ability of the expectations hypothesis of the term structure of interest rates in the BRICS and G7 countries by relating each country's monthly 3-month Treasury bill rate to 10-year government bond rates, from May 2003 to May 2018. The panel ARDL model,...

This paper studies the predictive power for recessions of the slope of the Swiss term structure using monthly data for 1974-2017. Dynamic probit models indicate that the term structure contains information useful for predicting recessions for horizons up to 19 months. Whether the economy is...

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton's model. The results...

Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...

We study the rank of the instantaneous or spot covariance matrix ΣX(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i/n), i = 0,...,n, we test the null hypothesis rank (ΣX(t)) = r for all t against local alternatives where the average (r + 1)st...

The ability of monetary policy to influence the term structure of interest rates and the macroeconomy depends on the extent to which financial market participants prefer to hold bonds of different maturities. We microfound such preferred-habitat demand in a fully-specified dynamic stochastic...

How does the additional debt issued by the government affect the term structure of interest rates? In this paper we identify Treasury supply shocks using intraday high-frequency data, by exploiting the institutional setup of the UK government bond primary market. We find that supply shocks have...