time variability of conditional yield volatility simultaneously. Models in this class are, in this regard, able to break …. Using a panel data set of US Treasury yields and realized yield volatilities, we evaluate the performance of various LRSQ … three unspanned stochastic volatility factors, which, correlate strongly withthe level and slope factor of conditional yield …

capture the variation in yields. An increase in the inflation rate and economic growth result in a rise in the yield curve …. Similarly, an increase in the money supply causes a rise in the yield curve, albeit with a delayed effect. Finally, when … official rates are raised, the long yield shows signs of a delayed decline. Overall, the long yield is more sensitive to most …

-term response of the Colombian long-term bond yield and other asset prices to shocks to the US long-term Treasury rate. We use daily …

This paper seeks to analyse the impact of government debt and other macroeconomic variables on the long term bond yield …-regressive distributed lag (ARDL) technique to estimate the determinants of the long-term bond yield. Our results show that the short …-term interest rate is the major determinant of the long term yield in both the short-run and long-run. Government debt and the US …

paper the impact this has on the South African long term bond yield, which represents the cost of borrowing to government …. Our approach entails investigating the determinants of the long term bond yield for South Africa using linear and non … relationship with the long term yield. Furthermore, we find that government debt and the US long term yield are positively related …

implying time-varying impulse responses of yield components. With short-term rate expectations at or close to the lower bound …

We estimate the 'fundamental' component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that … yield spread decomposition is achieved using a multi-market, no-arbitrage affine term structure model with a unique pricing … is applied to yield curve data from Belgium, France, Germany, Italy, and Spain over the period 2005-2013. Overall, our …

We show that government spending does play a role in shaping the yield curve which has important consequences for the … importance of timing in the response of yields to government spending. We find that the yield curve responds positively but …

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May … yield volatility. For a positive γ, the results suggest the possibility of a "leverage effect" that is markedly different …