application of the NSS model to fit the yield curve of a set of 20 countries, the majority from the Eurozone, which registered … negative sovereign bond yields. We conclude that the model adjusted well for all countries' yield curves, although no changes … conclusion, the NSS model seems to remain a valuable, easy to use, and adaptable tool, to fit negative yield curves, for monetary …

implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis … allows us to use the information of basically the whole yield curve in a parsimonious way for exchange rate risk prediction …. The data analyzed in our empirical study consist of the EURUSD exchange rate and the EUR- and US-yield curves from 15 …