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Shape evolution of the interest rate term structure

Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

Persistent link: https://www.econbiz.de/10012886359

Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?

Kim, Don H.; Priebsch, Marcel - 2020

We examine the structural stability of Gaussian shadow rate term structure models of Treasury yields over a period that includes the time during which the U.S. policy rate was at its effective lower bound. After a conceptual discussion of several potential sources of a structural break in the...

Persistent link: https://www.econbiz.de/10014048781

Specification Analysis of International Treasury Yield Curve Factors

Pegoraro, Fulvio - 2014

We show how to compute patterns of variation over time, both among and within countries, that determine the international term structure of interest rates, using maximum likelihood within a linear Gaussian state-space framework. The simultaneous estimation of common factors (shared by all...

Persistent link: https://www.econbiz.de/10013052223

The Empirics of Long-Term Mexican Government Bond Yields

Akram, Tanweer; Uddin, Syed Al-Helal - 2021

This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The … industrial production. John Maynard Keynes claimed that government bond yields move in lockstep with the short-term interest rate …

Persistent link: https://www.econbiz.de/10013239082

Yield Curve Momentum

Sihvonen, Markus - 2021

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

Persistent link: https://www.econbiz.de/10013313838

Tracing the impact of the ECB's asset purchase programme on the yield curve

Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2019

We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this...

Persistent link: https://www.econbiz.de/10012024810

Tracing the impact of the ECB's asset purchase programme on the yield curve

Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2020

We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...

Persistent link: https://www.econbiz.de/10012424954

Information in yield spread trades

Park, Yang-Ho - 2019

Using positions data on bond futures, I document that speculators' spread trades contain private information about …

Persistent link: https://www.econbiz.de/10012018461

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...

Persistent link: https://www.econbiz.de/10011877284

Corporate Bond Risk Premia

Speck, Christian - 2013

This paper investigates the holding period risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two priced risk factors are derived from yield and macroeconomic data: a priced term risk factor and a priced credit risk factor explain half of the variation in one-year...

Persistent link: https://www.econbiz.de/10013084981