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Relevant bibliographies by topics / Yield curve term structure

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Journal articles

Academic literature on the topic 'Yield curve term structure'

Author: Grafiati

Published: 4 June 2021

Last updated: 3 February 2022

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Journal articles on the topic "Yield curve term structure"

1

FINLAY, RICHARD, and MARK CHAMBERS. "A Term Structure Decomposition of the Australian Yield Curve." Economic Record 85, no. 271 (2009): 383–400. http://dx.doi.org/10.1111/j.1475-4932.2009.00567.x.

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CIESLAK, ANNA, and PAVOL POVALA. "Information in the Term Structure of Yield Curve Volatility." Journal of Finance 71, no. 3 (2016): 1393–436. http://dx.doi.org/10.1111/jofi.12388.

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Díaz, Antonio, Francisco Jareño, and Eliseo Navarro. "Term structure of volatilities and yield curve estimation methodology." Quantitative Finance 11, no. 4 (2011): 573–86. http://dx.doi.org/10.1080/14697680903473286.

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Campbell, John Y. "Some Lessons from the Yield Curve." Journal of Economic Perspectives 9, no. 3 (1995): 129–52. http://dx.doi.org/10.1257/jep.9.3.129.

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This paper reviews the literature on the relation between short- and long-term interest rates. It summarizes the mixed evidence on the expectation hypothesis of the term structure: when long rates are high relative to short rates, short rates tend to rise as implied by the expectations hypothesis, but long rates tend to fall, which is contrary to the expectations hypothesis. The paper discusses the response of the U.S. bond market to shifts in monetary policy in the spring of 1994 and reviews the debate over the optimal maturity structure of the U.S. government debt.

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5

Şahin, Şule, Andrew J. G. Cairns, Torsten Kleinow, and A. David Wilkie. "A yield-only model for the term structure of interest rates." Annals of Actuarial Science 8, no. 1 (2013): 99–130. http://dx.doi.org/10.1017/s1748499513000146.

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AbstractThis paper develops a term structure model for the UK nominal, real and implied inflation spot zero-coupon rates simultaneously. We start with fitting a descriptive yield curve model proposed by Cairns (1998) to fill the missing values for certain given days at certain maturities in the yield curve data provided by the Bank of England. We compare four different fixed ‘exponential rate’ parameter sets and decide the set of parameters which fits the data best. With the chosen set of parameters we fit the Cairns model to the daily values of the term structures. By applying principal compo

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Mineo, Eduardo, Airlane Pereira Alencar, Marcelo Moura, and Antonio Elias Fabris. "Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines." Journal of Risk and Financial Management 13, no. 4 (2020): 65. http://dx.doi.org/10.3390/jrfm13040065.

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The Nelson–Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for sensible term structure shapes affecting forecast results. We propose DCOBS with no-arbitrage restrictions, a dynamic constrained smoothing B-splines yield curve model. Even though DCOBS may provide more volatile forward curves than parametric models, they are still more accurate than those from Nelson

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7

CONT, RAMA. "MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH." International Journal of Theoretical and Applied Finance 08, no. 03 (2005): 357–80. http://dx.doi.org/10.1142/s0219024905003049.

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Motivated by stylized statistical properties of interest rates, we propose a modeling approach in which the forward rate curve is described as a stochastic process in a space of curves. After decomposing the movements of the term structure into the variations of the short rate, the long rate and the deformation of the curve around its average shape, this deformation is described as the solution of a stochastic evolution equation in an infinite dimensional space of curves. In the case where deformations are local in maturity, this equation reduces to a stochastic PDE, of which we give the simpl

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8

Tarelli, Andrea. "No-arbitrage one-factor term structure models in zero- or negative-lower-bound environments." Investment Management and Financial Innovations 17, no. 1 (2020): 197–212. http://dx.doi.org/10.21511/imfi.17(1).2020.18.

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One-factor no-arbitrage term structure models where the instantaneous interest rate follows either the process proposed by Vasicek (1977) or by Cox, Ingersoll, and Ross (1985), commonly known as CIR, are parsimonious and analytically tractable. Models based on the original CIR process have the important characteristic of allowing for a time-varying conditional interest rate volatility but are undefined in negative interest rate environments. A Shifted-CIR no-arbitrage term structure model, where the instantaneous interest rate is given by the sum of a constant lower bound and a non-negative CI

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9

Maldonado, Isabel, and Carlos Pinho. "Yield curve dynamics with macroeconomic factors in Iberian economies." Global Journal of Business, Economics and Management: Current Issues 10, no. 3 (2020): 193–203. http://dx.doi.org/10.18844/gjbem.v10i3.4691.

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Abstract The aim of this paper is to analyse the bidirectional relation between the term structure of interest rates components and macroeconomic factors. Using a factor augmented vector autoregressive model, impulse response functions and forecasting error variance decompositions we find evidence of a bidirectional relation between yield curve factors and the macroeconomic factors, with increased relevance of yield factors over it with increased forecasting horizons. The study was conduct for the two Iberian countries using information of public debt interest rates of Spain and Portugal

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10

Da Costa Filho, Adonias Evaristo. "The natural yield curve in Brazil." Brazilian Review of Finance 17, no. 4 (2019): 1. http://dx.doi.org/10.12660/rbfin.v17n4.2019.78914.

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<p>This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this model are then used in a model that includes an IS and a Phillips curve. The natural yield curve is obtained as the level, slope and curvature that closes the output gap at each point in time. This decomposition allows a broader indicator of the stance of monetary policy and a real-time measure of the natural rate. The difference between

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