Yield curve ≈ Yield curve
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Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) Open
This document contains a list of one typo in the main text and six typos in the online appendix of the article. Each typo is followed by an explanation of why it is only a typo and does not affect the analysis in the article. The main text…
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Bond Market Exposures to Macroeconomic and Monetary Policy Risks Open
The paper estimates a model that allows for shifts in the aggressiveness of monetary policy and time variation in the distribution of macroeconomic shocks. These model features induce variations in the cyclical properties of inflation and …
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(Re‐)Imag(in)ing Price Trends Open
We reconsider trend‐based predictability by employing flexible learning methods to identify price patterns that are highly predictive of returns, as opposed to testing predefined patterns like momentum or reversal. Our predictor data are s…
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Linear‐Rational Term Structure Models Open
We introduce the class of linear‐rational term structure models in which the state price density is modeled such that bond prices become linear‐rational functions of the factors. This class is highly tractable with several distinct advanta…
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Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies Open
This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerlan…
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Negative interest rate policy and the yield curve Open
Summary We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two policy indicators, which summari…
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Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks Open
This paper studies the nonlinear response of the term structure of interest rates to monetary policy shocks and presents a new stylized fact. We show that uncertainty about monetary policy changes the way the term structure responds to mon…
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Zero Lower Bound Term Structure Modeling: A Practitioner's Guide Open
"This book provides a comprehensive reference to state of the art zero bound term structure modeling in an applied setting. Based on the author's practical experience in the field, it covers tractable frameworks, macroeconomic foundations …
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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models Open
Most existing macro-finance term structure models (MTSMs) appear incompatible with regression evidence of unspanned macro risk. This “spanning puzzle” appears to invalidate those models in favor of new unspanned MTSMs. However, our empiric…
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Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models Open
We propose a general method for the Bayesian estimation of a very broad class of non-linear no-arbitrage term-structure models. The main innovation we introduce is a computationally efficient method, based on deep learning techniques, for …
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Assets, Subsistence, and The Supply Curve of Labor Open
The supply curve of labor is now accepted as a matter of course by most economists. It has no doubt been perplexing to observe that the most commonly employed types of utility functions do not yield such curves under the usual textbook ana…
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The term structure of expectations and bond yields Open
How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of profe…
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Inflation Risk Premia in the Euro Area and the United States Open
We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation expectations in the United States and the euro area. To sharpen our estimation, we include in the information set macro data …
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Exchange Rates and Asset Prices in a Global Demand System Open
We develop an asset demand system to analyze the equilibrium relation between international portfolio holdings and flows, exchange rates, and asset prices across all countries. We introduce a nested logit model of asset demand, for which w…
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Machine learning based decline curve analysis for short-term oil production forecast Open
Traditional decline curve analyses (DCAs), both deterministic and probabilistic, use specific models to fit production data for production forecasting. Various decline curve models have been applied for unconventional wells, including the …
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A Preferred‐Habitat Model of the Term Structure of Interest Rates Open
We model the term structure of interest rates that results from the interaction between investors with preferences for specific maturities and risk‐averse arbitrageurs. Shocks to the short rate are transmitted to long rates through arbitra…
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Interest Rate Skewness and Biased Beliefs Open
Conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness signals upside risk to interest rates during periods of accommodative monetary policy and an upward‐sloping yiel…
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Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves Open
This study investigates the dynamic transmission mechanism between 2Y, 5Y and 10Y interest rate swaps (IRS) for six European currencies (CHF, DKK, EUR, GBP, NOK and SEK) from August 6, 1999 to March 4, 2021 applying the time-varying parame…
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Bank Business Models at Zero Interest Rates Open
We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student’s t distributed mixtures, and economic determinants o…
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Affine multiple yield curve models Open
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or Heath–Jarrow–Morton modeling, can be consolidated. We model a numéraire pro…
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A search-theoretic model of the term premium Open
A consistent empirical feature of bond yields is that term premia are, on average, positive. The majority of theoretical explanations for this observation have viewed the term premia through the lens of the consumption based capital asset …
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Anchoring the yield curve using survey expectations Open
Summary The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, s…
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Risk-Free Interest Rates Open
We estimate risk-free interest rates unaffected by convenience yields on safe assets.We infer them from risky asset prices without relying on any specific model of risk.We obtain a term structure of convenience yields with maturities up to…
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Real-time inflation forecasting using non-linear dimension reduction techniques Open
In this paper, we assess whether using non-linear dimension reduction techniques pays off for forecasting inflation in real-time. Several recent methods from the machine learning literature are adopted to map a large dimensional dataset in…
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Mind the Gap in Sovereign Debt Markets: The US Treasury basis and the Dollar Risk Factor Open
The U.S. dollar exchange rate clears the global market for dollar-denominated safe assets. We find that shifts in the demand and supply of safe dollar assets are important drivers of variation in the dollar exchange rate, bond yields, and …
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Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns: an asymmetric nonlinear cointegration approach Open
This article examines the sensitivity of U.S. sector equity indices to changes in nominal interest rates and in the corresponding principal components (level, slope and curvature of the U.S. yield curve) over the period 1990–2013 using fac…
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Monetary Policy and Long-Term Interest Rates Open
The standard view of the transmission mechanism of monetary policy assigns a key role to long-term interest rates. According to this view, a monetary policy tightening pushes up both short and long interest rates, leading to less spending …
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The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges Open
Real interest rates have been persistently below historical norms over the past decade, leading economists and policymakers to view the equilibrium real interest rate as likely to be low for some time. Various definitions and approaches to…
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Home country interest rates and international investment in U.S. bonds Open
We analyze how interest rates affect cross-border portfolio investments. Data on U.S. bond holdings by foreign investors from 31 countries for the period 2003–2016 and a large variety in movements in interest rates in these countries provi…
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An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Open
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. The risk-free government zero-coupon term structure is, however,…