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 … single bond return or yield change factor. Because yield changes are partly induced by changes in the federal funds rate …

returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem … measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond … portfolios obtained with 9 alternative yield curve specifications, as well as with 12 different forecast combination strategies …

overestimation of bond yields is not unusual historically. Finally, our bond yield equation outperforms a random walk model in … factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model … to establish a stable long-run relationship and find that the behaviour of bond rates in the last few years may well be …

negative sovereign bond yields. We conclude that the model adjusted well for all countries' yield curves, although no changes …The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly … concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used …

-based structure. Liquidity conditions for EFSF bonds in the secondary market are different from those of large sovereign bond issuers …, which affects bond pricing. This paper offers the first study of the term structure of EFSF bond yields and a decomposition … of the EFSF curve and the swap curve allows to further identify the liquidity and credit components of both yield curves …

-2019 on the European government bond yields.It adopts a novel econometric approach that combines a data-rich factor analysis … yield components,we find that the UMP decreases the market component for all countries. It decreasesthe risk …

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and … Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we … variables. Our forecasting model significantly improves the predicting accuracy of extant models in the literature, particularly …

yields have strong predictive power for bond risk premia, in contrast to the factors based on yield levels. We also provide …The standard way to summarize the yield curve is to use the first three principal components of the yield curve … components of yield changes, which correspond to changes in level, slope and curvature. The new factors based on changes in …