Using non-parametric estimation methods, various authors have shown distinct non-linearities in the drift and volatility function of the US short rate, which are inconsistent with standard affine term structure models. We document how a regime-switching model with state dependent transition...

Affine models are very popular in modeling financial time series as they allow for analytical calculation of prices of financial derivatives like treasury bonds and options. The main property of affine models is that the conditional cumulant function, defined as the logarithmic of the...

This paper investigates the main determinants of the market-assessed sovereign risk premium in Romania, measured by the Option-Adjusted Spreads, from 2003 to 2013. The results show that the dynamics of sovereign spreads can be explained by both risk aversion indicators and macroeconomic...

Bu calismada gecelik kur takasi faizleri ile BIST Repo-Ters Repo Pazari’ndaki gecelik repo faizleri arasindaki iliski incelenmektedir. Soz konusu faizlerin Turkiye’de para politikasinin aktarim mekanizmasi icerisinde onemli bir yere sahip olmasi sebebiyle iki piyasa arasindaki iliskinin...

We use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between euro area sovereign bond yield spreads against Germany and their underlying determinants over the period January 1999 – August 2011. We offer new evidence suggesting a significant...

This paper examines the determinants of the breakeven inflation rate (BEI) on 5 and 10 year US Treasury inflation protected securities (TIPS). The estimation is conducted using a bias-corrected, automated model selection algorithm with indicator saturation and non-linearities. The vast majority...

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence...

We find empirical evidence that inflation, nominal, and real interest rates in the US are trend-stationary with a structural break in both the unconditional mean and the drift rate of a deterministic trend, which occurs shortly after the change in operating procedures of the Fed in September...

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique - substantially increases the R2 of the regression. This...