This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We show that macroeconomic variables as well as monetary policy variables have a significant impact on two factors that capture the variation in yields. An increase in the inflation...

Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market yield curve. We summarise movements in the yield curve by two latent...

We develop a dynamic stochastic general equilibrium framework that can account for important macroeconomic and financial moments, given Epstein-Zin preferences, heterogeneous banking and third-order approximation methods that yield a time-varying term premium that feeds back to the real economy....

My paper, “Does the Fed control interest rates?” is in the 2013 Review of Asset Pricing Studies (Volume 3, pp. 180-199). The paper finds that the Fed controls the Federal Funds (FF) rate (the overnight rate on interbank borrowing of reserves). Other short-term rates are related to FF, but...

Zimbabwe is one nation that has for many years remained on the top list of economies with high interest rates spread. High interest rates are a signal of financial sector inefficiency. The stability of the financial sector is greatly linked to economic growth and economic stability. The study...

Since the GFC, the supply of US government bonds has grown significantly, involving large changes in the structure of Treasury debt. This has important implications because many investment funds target duration to immunize their liabilities, incentivised by shortfall risks and new legislation....

This is the third in a series of seven papers on interest rates and it covers the yield curve, the literature on the composition of interest rates, an alternative analysis of composition of interest rates, the literature on the risk-free rate, an alternative view of the risk-free rate, and an...

This is the second in a series of seven papers on interest rates and it covers the relationship between the policy interest rate and the banks' prime lending rate; the many, but related, interest rates on debt and deposits; the interbank market interest rates; and the relationship of money market...

Bond markets can plummet or rally on the back of sentiment-driven reactions which are unrelated to fundamentals. Therefore, changes in bond prices can not only be interpreted as reflecting risk but also mispricing of long-term assets. These perceived risks can often feed back into the economy by...

I examine how the maturity structure of outstanding government liabilities affects the nominal yield curve under a variety of assumptions about investor objectives. In the class of models I consider, equilibria are arbitrage free, expectations are rational, and assets are valued only for their...