Search Results

The Yield Curve as a Predictor of Future Growth,
Matthew Famiglietti and Carlos Garriga, from Federal Reserve Bank of St. Louis (2021)
Keywords: yield curves; future growth

The Romanian Yield Curve: the Expectations Hypothesis and Connections to the Real Economy,
Alina Stefan, from Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB (2008)
Keywords: yield curve

Liquidity and Yield Curve Estimation,
Shih-Chuan Tsai, in Emerging Markets Finance and Trade (2012)
Keywords: forecast, liquidity, trading strategy, yield curve

Political ties and the yield curve,
Gene Ambrocio and Iftekhar Hasan, in Economics Letters (2023)
Keywords: Political ties; Yield curve; Sovereign borrowing;

Robust Equilibrium Yield Curves,
Isaac Kleshchelski and Nicolas Vincent, from HEC Montréal, Institut d'économie appliquée (2007)
Keywords: Yield curves, Market price of Uncertainty, Robust control.

Robust Equilibrium Yield Curves,
Isaac Kleshchelski and Nicolas Vincent, from CIRPEE (2009)
Keywords: Yield curve, market price of uncertainty, robust control

Macroeconomic models and the yield curve: An assessment of the fit,
Jagjit Chadha and Sean Holly, in Journal of Economic Dynamics and Control (2010)
Keywords: Macromodels Yield curve Persistence

South Africa’s yield curve conundrum,
Ruan Erasmus and Daan Steenkamp, from University Library of Munich, Germany (2022)
Keywords: term premium, yield curve

Is the yield curve a useful Information variable for the Eurosystem?,
Peter Bergeijk and Jan Marc Berk, from European Central Bank (2000)
Keywords: monetary policy, Yield curve

The flattening of the yield curve: causes and economic policy implications,
M. Collin, in Economic Review (2007)
Keywords: yield curve, risk premia

Have Yield Curve Inversions Become More Likely?,
Renee Courtois Haltom, Elaine Wissuchek and Alexander Wolman, in Richmond Fed Economic Brief (2018)
Keywords: yield curves; flattening; recession

Macroeconomic Models and the Yield Curve: An assessment of the Fit,
Jagjit Chadha and Sean Holly, from Faculty of Economics, University of Cambridge (2006)
Keywords: Macromodels, Yield Curve, Persistence

Monetary policy and the yield curve,
Edward Gamber and Julie Smith, in Economics Bulletin (2020)
Keywords: yield curve, Federal Reserve transparency, principal components, slope of yield curve, fed funds rate

Regime Switching in the Yield Curve,
Charlotte Christiansen, from University of Aarhus, Aarhus School of Business, Department of Business Studies (2002)
Keywords: Interest-rate variance; Regime switching; SWARCH; Yield curve; Yield curve slope

On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics,
Sowmya Subramaniam, David Gabauer and Rangan Gupta, from University of Pretoria, Department of Economics (2018)
Keywords: TVP-VAR, Dynamic Connectedness, Yield Curve Decomposition, Yield Curve Spillovers

The functional form of yield curves,
Vincent Brousseau, from European Central Bank (2002)
Keywords: affine models, bonds, bootstrapping, functional form, futures, swaps, Yield curves

Intelligible Factors for the Yield Curve,
Yvan Lengwiler and Carlos Lenz, from Swiss National Bank (2008)
Keywords: yield curve, factor models, structural vector autoregression, monetary policy

The Political Economy of the Yield Curve,
Marco Di Maggio, from University Library of Munich, Germany (2010)
Keywords: Fed, Financial Crisis, Political Pressure, Yield Curve, Political Constraints

ON AN INCREASINGLY YIELD CURVE OF KNOWLEDGE,
Emil Dinga, in Studies in Business and Economics (2018)
Keywords: knowledge, increasing return, yield curve, knowledge-based society

Forecasting the Yield Curve for Poland,
Tomasz Piotr Kostyra and Michał Rubaszek, in Econometric Research in Finance (2020)
Keywords: Yield Curve, Forecasting, Diebold-Li Model, Machine Learning

Fitting the Yield Curve,
Moorad Choudhry, Didier Joannas, Gino Landuyt, Richard Pereira and Rod Pienaar, from Palgrave Macmillan (2010)
Keywords: Interest Rate, Cash Flow, Discount Factor, Term Structure, Yield Curve

On the estimation of the natural yield curve,
Jouchi Nakajima, Nao Sudo, Yoshihiko Hogen and Yasutaka Takizuka, from Institute of Economic Research, Hitotsubashi University (2023)
Keywords: Natural yield curve, Natural rate of interest, Term structure

Understanding and appreciating the yield curve,
Moorad Choudhry, from Palgrave Macmillan (2006)
Keywords: Interest Rate, Cash Flow, Term Structure, Yield Curve, Bond Market

Mortgage Spreads and the Yield Curve,
Grey Gordon, in Richmond Fed Economic Brief (2023)
Keywords: mortgage rates; Treasury yield curve; financial stress; mortgage duration

Building a Yield Curve,
Rupak Chatterjee, from Springer (2014)
Keywords: Interest Rate, Cash Flow, Discount Factor, Yield Curve, Forward Rate

Does the Yield Curve Predict Output?,
Joseph Haubrich, in Annual Review of Financial Economics (2021)
Keywords: yield curve, term structure, prediction, recessions

Forecasting the Yield Curve With Macroeconomic Variables,
Michał Rubaszek, in Econometric Research in Finance (2016)
Keywords: yield curve, forecasting, Diebold-Li model

Macroeconomic Determinants of the Movement of the Yield Curve,
Gregorio Vargas, from University Library of Munich, Germany (2005)
Keywords: yield curve, Nelson-Siegel model, VAR, volatility

The yield curve as a predictor and emerging economies,
Arnaud Mehl, from Bank of Finland Institute for Emerging Economies (BOFIT) (2006)
Keywords: emerging economies, yield curve, forecasting, international linkages

The yield curve as a predictor and emerging economies,
Arnaud Mehl, from European Central Bank (2006)
Keywords: emerging economies, forecasting, international linkages, yield curve

Unspanned macroeconomic factors in the yield curve,
Laura Coroneo, Domenico Giannone and Michele Modugno, from Board of Governors of the Federal Reserve System (U.S.) (2014)
Keywords: Yield curve; government bonds; factor models; forecasting

Does the Yield Curve Predict Output?,
Joseph Haubrich, from Federal Reserve Bank of Cleveland (2020)
Keywords: Yield curve; term structures; prediction; recessions

Unspanned Macroeconomic Factors in the Yields Curve,
Laura Coroneo, Domenico Giannone and Michele Modugno, from ULB -- Universite Libre de Bruxelles (2013)
Keywords: Yield curve; Government Bonds; factor models; forecasting

An Empirical Analysis of the Predictive Power of European Yield Curves,
Marcell Peter Granat, Gabor Neszveda and Dorottya Szabo, in Financial and Economic Review (2023)
Keywords: yield curve, recession, probit model

Yield Curve and Recession Forecasting in a Machine Learning Framework,
Periklis Gogas, Theophilos Papadimitriou, Maria - Artemis Matthaiou and Efthymia Chrysanthidou, from Democritus University of Thrace, Department of Economics (2014)
Keywords: Yield Curve; Recession Forecasting; SVM

Speculation, risk premia and expectations in the yield curve,
Francisco Barillas and Kristoffer Nimark, from Department of Economics and Business, Universitat Pompeu Fabra (2013)
Keywords: speculation, risk premia, yield curve

Speculation, Risk Premia and Expectations in the Yield Curve,
Francisco Barillas and Kristoffer Nimark, from Barcelona School of Economics (2013)
Keywords: speculation, risk premia, Yield Curve

US yield curve inversion and financial market signals of recession,
Johannes Gräb and Stephanie Titzck, in Economic Bulletin Boxes (2020)
Keywords: Recession probability, yield curve

The estimation of nominal and real yield curves from government bonds in Israel,
Zvi Wiener and Helena Pompushko, in Journal of Risk Finance (2006)
Keywords: Yield curve, Inflation, Israel

Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve,
Ales Bulir and Jan Vlcek, from Czech National Bank, Research and Statistics Department (2019)
Keywords: Monetary transmission, yield curve

Corporate Debt Maturity and Monetary Policy,
Falk Bräuning, Jose Fillat and J. Christina Wang, from Federal Reserve Bank of Boston (2020)
Keywords: monetary policy; yield curves; corporate finance

Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves,
Per Nymand-Andersen, from European Central Bank (2018)
Keywords: data quality, term structure, yield curve models

Credit risk-taking and maturity mismatch: the role of the yield curve,
Giuseppe Ferrero, Andrea Nobili and Gabriele Sene, from Bank of Italy, Economic Research and International Relations Area (2019)
Keywords: yield curve, risk-taking channel, reach-for-yield

Predicting Growth Components ¨C Unemployment, Housing Prices and Consumption Using Both Government and Corporate Yield Curves,
Dan Saar and Yossi Yagil, in International Journal of Economics and Finance (2018)
Keywords: bond yields, housing prices, unemployment rates, consumption, forecasting, corporate bonds

Yield curve as an indicator of bonds issuers' default risk,
Leonov Sergey V., in Business Inform (2012)
Keywords: yield to maturity, T-bills, yield curve, default risk, bonds issuers

Updating the Yield Curve to Analyst’s Views,
Leonardo M. Nogueira, from Palgrave Macmillan (2010)
Keywords: Yield Variation, Yield Curve, Market Risk, Fixed Income, Forecast Variable

Modeling the yield curve of spot interest rates under the conditions in Bulgaria,
Alexander Ganchev, from University Library of Munich, Germany (2009)
Keywords: Yield curve, yield curve modelling, spot interest rates

Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve,
Adam Kučera, Michal Dvorak, Lubos Komarek and Zlatuse Komarkova, from Czech National Bank, Research and Statistics Department (2017)
Keywords: Affine model, decomposition, government bond, yield curve

Yield curve control,
Mika Kortelainen, from Bank of Finland (2020)
Keywords: Yield curve control, monetary policy, fiscal policy, efficient lower bound, liquidity trap

Notes on the yield curve,
Ian Martin and Steve Ross, from London School of Economics and Political Science, LSE Library (2019)
Keywords: yield curve; term structure; recovery theorem; traps; Cheeger inequality; eigenvalue gap

Notes on the Yield Curve,
Ian Martin and Stephen Ross, from C.E.P.R. Discussion Papers (2018)
Keywords: Term structure; Recovery theorem; Traps; Cheeger inequality; Eigenvalue gap; Yield curve

Reconstructing the yield curve,
Yan Liu and Jing Cynthia Wu, in Journal of Financial Economics (2021)
Keywords: Yield curve; Term structure of interest rates; Return forecasting regressions; Excess volatility; Non-parametric method;

Notes on the yield curve,
Ian Martin and Stephen Ross, in Journal of Financial Economics (2019)
Keywords: Yield curve; Term structure; Recovery theorem; Traps; Cheeger inequality; Eigenvalue gap;

Measuring the natural yield curve,
Michal Brzoza-Brzezina and Jacek Kotłowski, from Narodowy Bank Polski (2012)
Keywords: Natural rate of interest, natural yield curve, unconventional monetary policy, Kalman filter

Yield curve prediction for the strategic investor,
Carlos Bernadell, Joachim Coche and Ken Nyholm, from European Central Bank (2005)
Keywords: regime switching, scenario analysis, state space model, yield curve distributions

Parametric forecasts of Australian yield curves,
Anthony Hall, in Mathematics and Computers in Simulation (MATCOM) (1999)
Keywords: Bond yield curve; Parametric forecasts; Vector autoregressive model;

The yield curve in a small open economy,
Mariano Kulish and Daniel Rees, in Journal of International Economics (2011)
Keywords: Yield curve; UIP; Small open economy; Monetary policy; Bayesian estimation;

The Inverted Yield Curve in a 3-Equation Model,
Leila Davis and Thomas Michl, in Eastern Economic Journal (2024)
Keywords: Inverted yield curve, 3-Equation model, Expectations anchoring, Economic education

The Yield Curve as a Predictor and Emerging Economies,
Arnaud Mehl, in Open Economies Review (2009)
Keywords: Emerging economies, Yield curve, International financial linkages, E44, F3, C5,

Managing the Treasury Yield Curve in the 1940s,
Kenneth Garbade, from Federal Reserve Bank of New York (2020)
Keywords: yield curve management; open market operations; debt management

The Yield Curve Information under Unconventional Monetary Policies,
Luis Ceballos and Damian Romero, in Revista de Analisis Economico – Economic Analysis Review (2015)
Keywords: Yield curve, unconventional monetary policies, economic forecasting

The Three Intelligible Factors of the Yield Curve in Mexico,
Elizondo Rocío, from Banco de México (2023)
Keywords: Intelligible factors;yield curve;state-space models

Forecasting the yield curve with linear factor models,
Marco Matsumura, Ajax Moreira and José Vicente, in International Review of Financial Analysis (2011)
Keywords: Yield curve forecasting; Macroeconomic variables; Affine models;

Predicting the yield curve using forecast combinations,
João F. Caldeira, Guilherme Moura and Andre Santos, in Computational Statistics & Data Analysis (2016)
Keywords: Yield curve; Forecast combinations; Economic value of forecasts;

The yield curve and the macroeconomy: Evidence from Turkey,
Huseyin Kaya, in Economic Modelling (2013)
Keywords: Term structure; Yield curve; Monetary policy; Macroeconomics;

Forecasting the yield curve and the role of macroeconomic information in Turkey,
Huseyin Kaya, in Economic Modelling (2013)
Keywords: Yield curve; Forecasting; Macroeconomic variables; DNS; ATSM;

Yield curve trading strategies exploiting sentiment data,
Francesco Audrino and Jan Serwart, in The North American Journal of Economics and Finance (2024)
Keywords: Bond butterflies; Yield curve; Sentiment data;

Term Spreads, Forward Rates and Yield Curve Forecasts,
Gian Maria Tomat, in Research in Economics (2021)
Keywords: Spot rate; Forward rate; Yield curve; Inflation;

Networking the yield curve: implications for monetary policy,
Tatjana Dalhaus, Julia Schaumburg and Tatevik Sekhposyan, from European Central Bank (2021)
Keywords: dynamic networks, monetary policy, yield-curve

Yield Curve Modelling with the Nelson-Siegel Method for Poland,
Tomasz Kostyra, in Gospodarka Narodowa. The Polish Journal of Economics (2022)
Keywords: yield curve, bootstrapping, Nelson-Siegel model

The Czech Government Yield Curve Decomposition at the Lower Bound,
Michal Dvorák, Zlatuse Komarkova and Adam Kučera, in Czech Journal of Economics and Finance (Finance a uver) (2019)
Keywords: decomposition, government bond, yield curve, affine model

The Slope of the Yield Curve as a Predictor of Business Cycle Fluctuations,
Albert Jaeger, from WIFO (1992)
Keywords: The Slope of the Yield Curve as a Predictor of Business Cycle Fluctuations

The Yield Curve Slope and Monetary Policy Innovations,
Edward N. Gamber and Fred Joutz, from Institute for Advanced Studies (2005)
Keywords: Monetary policy, Yield curve, Inflation, Price puzzle

Forecasting the yield curve for Poland with the PCA and machine learning,
Tomasz Piotr Kostyra, in Bank i Kredyt (2024)
Keywords: forecasting, LSTM, machine learning, PCA, yield curve

Information in the yield curve: A Macro-Finance approach,
Hans Dewachter, Leonardo Iania and Marco Lyrio, from National Bank of Belgium (2014)
Keywords: Macro-finance model, Yield curve, Expectations hypothesis

The Yield Curve as a Determinant of Investment in Durable Capital,
Garret Fellows, from Department of Economics, University of Calgary (2014)
Keywords: Durability; Depreciation; Yield Curve; Cost-of-Capital

A Preferred Habitat View of Yield Curve Control,
Junko Koeda and Yoichi Ueno, from Bank of Japan (2022)
Keywords: monetary policy; yield curve control; preferred habitat

Intermediary Balance Sheets and the Treasury Yield Curve,
Wenxin Du, Benjamin Hebert and Wenhao Li, from Federal Reserve Bank of New York (2022)
Keywords: yield curve; balance sheet constraints; CIP deviations

PARAMETRIC YIELD CURVE MODELING IN AN ILLIQUID AND UNDEVELOPED FINANCIAL MARKET,
Davor Zoričić and Silvije Orsag, in UTMS Journal of Economics (2013)
Keywords: parametric yield curve models; illiquidity

The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997,
Michael Bordo and Joseph Haubrich, from Econometric Society (2004)
Keywords: Yield Curve, Monetary Regime, credibility

Estimating yield curves from swap, BUBOR and FRA data,
Zoltán Reppa, from Magyar Nemzeti Bank (Central Bank of Hungary) (2008)
Keywords: yield curve, interest rate swaps.

Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve,
Tiff Macklem, Alain Paquet and Louis Phaneuf, from CREFE, Université du Québec à Montréal (1996)
Keywords: Monetary policy, asymmetry, yield curve

Revisiting the shape of the yield curve: the effect of interest rate volatility,
Charlotte Christiansen and Jesper Lund, from University of Aarhus, Aarhus School of Business, Department of Business Studies (2002)
Keywords: Multivariate GARCH-M; Short-Rate Volatility; Yield Curve Curvature; Yield Curve Shape; Yield Curve Slope

The natural yield curve: its concept and measurement,
Kei Imakubo, Haruki Kojima and Jouchi Nakajima, in Empirical Economics (2018)
Keywords: Natural yield curve, Yield curve gap, Natural rate of interest, Interest rate gap, Term structure

Term premium in a fractionally cointegrated yield curve,
Mirko Abbritti, Hector Carcel, Luis Gil-Alana and Antonio Moreno, in Journal of Banking & Finance (2023)
Keywords: U.S. yield curve; Long-run relation; Fractional cointegration; Term premium; International yield curves;

The natural yield curve: its concept and developments in Japan,
Kei Imakubo, Haruki Kojima and Jouchi Nakajima, from Bank of Japan (2015)
Keywords: Natural yield curve; Yield curve gap; Natural rate of interest; Interest rate gap

The natural yield curve: its concept and measurement,
Kei Imakubo, Haruki Kojima and Jouchi Nakajima, from Bank of Japan (2015)
Keywords: Natural yield curve; Yield curve gap; Natural rate of interest; Interest rate gap; Term structure

NELSON-SIEGEL YIELD CURVE MODEL ESTIMATION AND THE YIELD CURVE TRADING IN THE CROATIAN FINANCIAL MARKET,
Davor Zoričić and Marko Badurina, in UTMS Journal of Economics (2013)
Keywords: yield curve model; bond trading strategies

Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco,
Calixte Ahokpossi, Pilar Garcia Martinez and Laurent Kemoe, from International Monetary Fund (2016)
Keywords: WP;yield curve factor;factor loading;macroeconomic variable;yield curve dynamics;Morocco yield curve;yield curve residual; Yield curve; interest rates; government bonds; Morocco; monetary policy shock; Inflation; Vector autoregression; Central bank policy rate; Inflation targeting; Maghreb

Zero-Coupon, Forward, and Par Yield Curves for the Nigerian Bond Market,
Victor Curtis Lartey, Yao Li, Hannah Darkoa Lartey and Eric Kofi Boadi, in SAGE Open (2019)
Keywords: Nigerian bond market; African bond market; Nigerian yield curve; zero-coupon yield curve; yield-to-maturity yield curve