This paper takes the interest rates of China's government bond as the research object, and demonstrates the feasibility of the yield curve factor model by analyzing the Bootstrap, DNS, AFNS model of yield curve. Then based on the factor construction, construct the yield curve factor. In order to...

In this paper, we investigate the forecasting ability of the yield curve in terms of the U.S. real GDP cycle. More specifically, within a Machine Learning (ML) framework, we use data from a variety of short (treasury bills) and long term interest rates (bonds) for the period from 1976:Q3 to...

We compare parametric and machine learning techniques (namely: Neural Networks) for in-sample modeling of the yield curve of the BRICS countries (Brazil, Russia, India, China, South Africa). To such aim, we applied the Dynamic De Rezende-Ferreira five-factor model with time-varying decay...

This paper proposes a novel bond return (price or yield curve) prediction methodology, unifying the classical no arbitrage pricing framework, which is ubiquitous and serves as the fundamental theoretical building block in mathematical finance, and empirical asset (bond) pricing methodologies,...

The literature on using yield curves to forecast recessions typically measures the term spread as the difference between the 10-year and the three-month Treasury rates. Furthermore, using the term spread constrains the long- and short-term interest rates to have the same absolute effect on the...

This paper introduces a new transmission channel of banking crises where sizable cross-border bank claims on foreign countries with high domestic crisis risk enable contagion to the home economy. This asset-side channel opposes traditional views that see banking crises originating from either...