yield curve
Modeling the yield curve of spot interest rates under the conditions in Bulgaria
... their yield curves, quantitative characteristics 2 and term structure ...bond yield curve and its dynamics and behavior are considered the main indices for the status, characteristics and trends of ...
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Forecasting recessions: the puzzle of the enduring power of the yield curve
... the yield curve provides useful information for forecasting future periods of expansion and ...the yield curve has significant real-time predictive power for distinguishing be- tween ...
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Comparisons of different monetary policies in China with yield curve information
... In general, this paper finds that the quantity-based and price-based monetary policies do not have any significant long term impact on real activities. The 1-year lending rate has the most impact on real activities in ...
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Zero-Coupon Yield Curve Estimation with the Package termstrc
... zero-coupon yield curve are added to the ...spot curve of <COUNTRY>, while plot(<object>$spot) plots the spot curves of all available ...
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Government of Canada Yield-Curve Dynamics, 1986-2003
... average yield curves over the period, presenting some detail about the average values and variances of the levels for four different yield-curve ...in yield that drive the short-term risk and ...
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Yield Curve Dynamics: Regional Common Factor Model
... PLN yield curve slope behaves differently than the regional slope ...Polish yield curve slope is mainly linked to the USD yield curve ...
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The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
... observed yield curve and its dynamics as the cross-sectional dimension N becomes large, and can feasibly be estimated and used for forecasting when N is ...36-dimensional yield curves for US Treasury ...
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Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan
... In this backdrop, the rationale of this paper is to empirically investigate the transmission of volatility in SBP’s operational target i.e. overnight repo rate to other short and long -term interest rates in the term ...
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The Japan Municipal Bond Yield Curve: 2002 to the Present
... The aim of this paper is to present the par yield curve for Japan’s Municipal Bonds, by examining daily data from 2002 to the present. Moreover, this paper contributes to current literature by making ...
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The Term Structure of Savings, the Yield Curve, and Maturity Mismatching
... when the roll-over stops as they are financed by long-term loans. The financial intermediaries will absorb the brunt of the pain as they will no longer be able to repay their short-term debts as their savings are ...
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Yield Curve Flattening a Symptom of Ineffective Policy Tightening
... easures of financial conditions, generally interpreted as effects of monetary policy on the real economy via channels such as exchange rate, short-term and long-term bond yields, stock valuation, and credit spreads, have ...
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THE EFFECT OF THE YIELD CURVE ON A BOND S CALL PREMIUM
... the yield curve on the value of the call premium placed on callable bonds over similar non-callable ...the yield curve on government debt. If the yield curve is upward sloping, ...
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Information in the term structure of yield curve volatility
... discount curve using smoothing ...coupon yield curve allows us to use constant roughness penalty as in Fisher, Nychka, and Zervos (1994) for estimating the whole ...zero curve for the realized ...
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The yield curve and the prediction on the business cycle: a VAR analysis for the European Union
... the yield curve following the explosion of the bubble at the unexpected Leman Brother’s crash and the expectations’ next fine ...the yield curve, while in the section 3 we investigate ...
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A New Keynesian model of the yield curve with learning dynamics: A Bayesian evaluation
... the yield curve with an improved ability to …t the data, we relax the other two restrictions imposed by consistent macro-…nance models, ...actual yield curve from the one implied by ...
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The impact of ECB monetary policy decisions and communication on the yield curve
... market yield curve over a wide time window (comprising decision and communication events) to indirectly construct indicators capturing the decision and the communication dimensions ...
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Yield Curve Analysis: Choosing the optimal maturity date of investments and financing
... The risk of a long-term investment with a fixed interest rate consists in a decrease in market rates during the loans’ term. Here again, as longer the chosen maturity is, as higher the risk. Such risk disclosure, ...
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Forecasting the Brazilian yield curve using forward-looking variables
... Bernanke et al. (2005) propose two ways of estimating a FAVAR model: (i) two-step estimation (principal components plus VAR estimation) or (ii) a Bayesian method based on Gibbs sampling. They show that both methods ...
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Yield Curve for Japanese Agency Bonds: From 2002 to the Present
... bond yield curve would only be six years ...the yield curve using agency bonds by not only NAA, but also New Tokyo International Airport ...
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Forecasting output growth by the yield curve: the role of structural breaks
... nominal yield curve which allows for the possibility of both in-sample and out-of-sample breaks in parameter ...the yield curve and output growth in late 1979 and early ...
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