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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

The Long-Run Determinants of Indian Government Bond Yields

Akram, Tanweer - 2017

whether John Maynard Keynes's supposition that short-term interest rates are the key driver of long-term government bond … nominal income — has an adverse effect on government bond yields over a long-run horizon. The models estimated here show that … in India, short-term interest rates are the key driver of long-term government bond yields over the long run. However …

Persistent link: https://www.econbiz.de/10012965607

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

A Note Concerning Government Bond Yields

Akram, Tanweer - 2020

, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes … long-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields substantiate …

Persistent link: https://www.econbiz.de/10014352059

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

Inflation targeting and term premia estimates for Latin America

Blake, Andrew P.; Rule, Garreth R.; Rummel, Ole - In: Latin American economic review : LAER ; official … 24 (2015), pp. 1-21

Inflation targeting has been widely adopted in Latin America. In this paper, we show evidence consistent with major beneficial effects from so doing, with falling term premia and anchored policy rate expectations. To do this we construct term premia estimates using the method suggested by Adrian...

Persistent link: https://www.econbiz.de/10011885534

Real term premia in consumption-based models

Melissinos, Errikos - 2024

Can consumption-based mechanisms generate positive and time-varying real term premia as we see in the data? I show that only models with time-varying risk aversion or models with high consumption risk can independently produce these patterns. The latter explanation has not been analysed before...

Persistent link: https://www.econbiz.de/10014448212

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

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