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Journal articles on the topic 'Yield curve term structure'

Author: Grafiati

Published: 4 June 2021

Last updated: 3 February 2022

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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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2

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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4

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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6

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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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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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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Feng, Pan, and Junhui Qian. "Analyzing and forecasting the Chinese term structure of interest rates using functional principal component analysis." China Finance Review International 8, no. 3 (2018): 275–96. http://dx.doi.org/10.1108/cfri-06-2017-0065.

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Purpose The purpose of this paper is to analyze and forecast the Chinese term structure of interest rates using functional principal component analysis (FPCA). Design/methodology/approach The authors propose an FPCA-K model using FPCA. The forecasting of the yield curve is based on modeling functional principal component (FPC) scores as standard scalar time series models. The authors evaluate the out-of-sample forecast performance using the root mean square and mean absolute errors. Findings Monthly yield data from January 2002 to December 2016 are used in this paper. The authors find that in

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12

Wolcott, Erin L. "Impact of Foreign Official Purchases of US Treasuries on the Yield Curve." AEA Papers and Proceedings 110 (May 1, 2020): 535–40. http://dx.doi.org/10.1257/pandp.20201124.

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Foreign governments went from owning a tenth of publicly available US Treasury notes and bonds in 1985 to over half in 2008. Recently, foreign governments have reduced their positions. I find foreign official purchases have depressed medium-term yields, despite conventional wisdom pointing toward the long end of the yield curve. To examine effects over the entire yield curve, I embed a structural vector autoregression of macroeconomic variables into an affine term structure model. With segments of the yield curve increasingly determined by international financial markets, it may be more diffic

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Jang, Woon Wook, and Jaehoon Hahn. "Understanding the Impact of Monetary Policy in Korea using a Macro-Finance Term Structure Model with." Journal of Derivatives and Quantitative Studies 22, no. 2 (2014): 161–92. http://dx.doi.org/10.1108/jdqs-02-2014-b0001.

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This paper examines the interaction between monetary policy and the macroeconomy using a macro-finance term structure model of Joslin, Priebsch, and Singleton (2012), in which macroeconomic risks are not assumed to be spanned by information about the shape of the yield curve. For model estimation, we apply the Kalman filter to a large number of macroeconomic time series data grouped into output, inflation, and market stress categories and extract three common factors. For the factors determining the shape of the yield curve, we use the call rate, the spread between 10-year government bond yiel

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Tang, Huarong, and Yihong Xia. "An International Examination of Affine Term Structure Models and the Expectations Hypothesis." Journal of Financial and Quantitative Analysis 42, no. 1 (2007): 41–80. http://dx.doi.org/10.1017/s0022109000002180.

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AbstractWe examine the yield curve behavior and the relative performance of affine term structure models (ATSMs) using government bond yield data from Canada, Germany, Japan, the U.K., and the U.S. We find strong predictability of forward rates for excess bond returns and reject the expectations hypothesis in all five countries. A three-factor model is sufficient to capture movements in the yield curve of Canada, Japan, the U.K., and the U.S., but may not be enough for Germany. An exhaustive comparison among ATSMs with no more than three factors reveals that the three-factor essential affine m

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Mansi, Sattar A., and Jeffery H. Phillips. "MODELING THE TERM STRUCTURE FROM THE ON-THE-RUN TREASURY YIELD CURVE." Journal of Financial Research 24, no. 4 (2001): 545–64. http://dx.doi.org/10.1111/j.1475-6803.2001.tb00830.x.

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AIHARA, SHIN ICHI, and ARUNABHA BAGCHI. "IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA." International Journal of Theoretical and Applied Finance 13, no. 02 (2010): 259–83. http://dx.doi.org/10.1142/s0219024910005760.

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We consider a slight perturbation of the Hull-White short rate model and the resulting modified forward rate equation. We identify the model coefficients by using the martingale property of the normalized bond price. The forward rate and the system parameters are then estimated by using the maximum likelihood method.

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Barbaceia Gonçalves, Adalto, and Felipe Tumenas Marques. "Brazilian term structure of interest rate modeling: A Nelson-Siegel approach." Corporate Ownership and Control 14, no. 1 (2016): 414–32. http://dx.doi.org/10.22495/cocv14i1c3p2.

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Forecasting interest rates structures plays a fundamental role in the fixed income and bond markets. The development of dynamic modeling, especially after Nelson and Siegel (1987) work, parsimonious models based in a few parameter shed light over a new path for the market players. Despite the extensive literature on the term structure of interest rates modeling and the existence in the Brazilian market of various yield curves from different traded asset classes, the literature focused only in the fixed rate curve. In this work we expand the existing literature on modeling the term structure of

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18

Hong, Zhiwu, Linlin Niu, and Gengming Zeng. "US and Chinese yield curve responses to RMB exchange rate policy shocks." China Finance Review International 9, no. 3 (2019): 360–85. http://dx.doi.org/10.1108/cfri-12-2017-0239.

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Purpose Using a discrete-time version of the arbitrage-free Nelson–Siegel (AFNS) term structure model, the authors examine how yield curves in the US and China react to exchange rate policy shocks as China introduces gradual reforms to make its exchange rate regime more flexible. The paper aims to discuss this issue. Design/methodology/approach The authors characterize the specification of the discrete-time AFNS model, prove the uniqueness of the solution for model identification, perform specification analysis on its canonical form and detail the MCMC estimation method with a fast and reliabl

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19

Carriero, Andrea. "FORECASTING THE YIELD CURVE USING PRIORS FROM NO-ARBITRAGE AFFINE TERM STRUCTURE MODELS*." International Economic Review 52, no. 2 (2011): 425–59. http://dx.doi.org/10.1111/j.1468-2354.2011.00634.x.

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20

Stona, Felipe, Jean Amann, Maurício Delago Morais, Divanildo Triches, and Igor Clemente Morais. "Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014." Brazilian Review of Finance 13, no. 4 (2015): 650. http://dx.doi.org/10.12660/rbfin.v13n4.2015.56540.

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This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Specifically, we perform estimations of Nelson-Siegel, Diabold-Li and principal component analysis to test how the change of macroeconomic factors, e.g. inflation, production and unemployment levels affect the yield curves. For Brazil and Mexico, GDP and inflation variables are relevant to change the yield curves, with the former shifting more t

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21

Lee, Joon Haeng. "Estimating and Forecasting the Term Structure of Korea Markets Using the Nelson-Siegel Model." Journal of Derivatives and Quantitative Studies 12, no. 2 (2004): 101–26. http://dx.doi.org/10.1108/jdqs-02-2004-b0005.

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This paper estimates and forecasts yield curve of korea bond market using a three factor term structure model based on the Nelson-Siegel model. The Nelson-Siegel model is in-terpreted as a model of level, slope and curvature and has the flexibility required to match the changing shape of the yield curve. To estimate this model, we use the two-step estima-tion procedure as in Diebold and Li. Estimation results show our model is Quite flexible and gives a very good fit to data. To see the forecasting ability of our model, we compare the RMSEs (root mean square error) of our model to random walk

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AIHARA, Shin Ichi, and Arunabha BAGCHI. "Empirical Identification of Affine Term Structures from Yield Curve Data." Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2009 (May 5, 2009): 354–59. http://dx.doi.org/10.5687/sss.2009.354.

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23

WU, EDMOND HAOCUN, and PHILIP L. H. YU. "PATTERN RECOGNITION OF THE TERM STRUCTURE USING INDEPENDENT COMPONENT ANALYSIS." International Journal of Pattern Recognition and Artificial Intelligence 20, no. 02 (2006): 173–88. http://dx.doi.org/10.1142/s0218001406004594.

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Term structure is a useful curve describing some financial asset as a function of time to maturity or expiration. In this paper, we propose to use Independent Component Analysis (ICA) to model the term structure of multiple yield curves. The idea is that we first employ ICA to decompose the multivariate time series, then we suggest two ICA methods for dimension reduction and pattern recognition of the term structure. We also compare the results by using an alternative method, Principal Component Analysis (PCA). The empirical studies suggest that the proposed ICA approaches outperform PCA metho

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Bui, Anh Tuan, and Lance A. Fisher. "The relative term structure and the Australian-US exchange rate." Studies in Economics and Finance 33, no. 3 (2016): 417–36. http://dx.doi.org/10.1108/sef-05-2014-0089.

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Purpose The purpose of this paper is to investigate whether the factors that summarise the information in the yield curves of Australia and the USA can predict changes in the Australian–USA exchange rate (i.e. the AUD/USD rate) and Australian dollar excess returns. Design/methodology/approach The paper extracts the three Nelson–Siegel factors (level, slope and curvature) from the relative yield curve of Australia with the USA to predict changes in the bilateral exchange rate and excess returns on the Australian dollar. The full sample regressions allow for a shift in the coefficient on the rel

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Lou, Jun. "A Consumption Based Term Structure Model w ith Habit Utility." Journal of Business and Economics 9, no. 6 (2018): 484–96. http://dx.doi.org/10.15341/jbe(2155-7950)/06.09.2018/003.

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This paper proposes a term structure of interest rates model that modifies and extends the Campbell and Cochrane (1999) surplus consumption framework. The distinguishing contributions are tractable, continuous-time analytical solutions for the term structure of interest rate generating a realistic upward sloping yield curve. Despite the focus on the term structure, the model matches plausible equity quantities. For the interest rate, the model is able to account for the moments of bond yields at numerous maturities and produce countercyclical bond risk premia as seen in the data. Moreover, the

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BEKKER, PAUL A., and KEES E. BOUWMAN. "ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES." International Journal of Theoretical and Applied Finance 12, no. 05 (2009): 577–88. http://dx.doi.org/10.1142/s0219024909005373.

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Empirical modeling of the yield curve is often inconsistent with absence of arbitrage. In fact, many parsimonious models, like the popular Nelson-Siegel model, are inconsistent with absence of arbitrage. In other cases, arbitrage-free models are often used in inconsistent ways by recalibrating parameters that are assumed constant. For these cases, this paper introduces an arbitrage smoothing device to control arbitrage errors that arise in fitting a sequence of yield curves. The device is applied to the US term structure for the family of Nelson-Siegel curves. It is shown that the arbitrage sm

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DAVIS, MARK H. A., and VICENTE MATAIX-PASTOR. "ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE." International Journal of Theoretical and Applied Finance 12, no. 07 (2009): 969–1005. http://dx.doi.org/10.1142/s0219024909005543.

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We suggest an arbitrage free interpolation method for pricing zero-coupon bonds of arbitrary maturities from a model of the market data that typically underlies the swap curve; that is short term, future and swap rates. This is done first within the context of the Libor or the swap market model. We do so by introducing an independent stochastic process which plays the role of a short term yield, in which case we obtain an approximate closed-form solution to the term structure while preserving a stochastic implied short rate. This will be discontinuous but it can be turned into a continuous pro

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Heidari, Massoud, and Liuren Wu. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives." Journal of Financial and Quantitative Analysis 44, no. 3 (2009): 517–50. http://dx.doi.org/10.1017/s0022109009990093.

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AbstractDynamic term structure models explain the yield curve variation well but perform poorly in pricing and hedging interest rate options. Most existing option pricing practices take the yield curve as given, thus having little to say about the fair valuation of the underlying interest rates. This paper proposes an m + n model structure that bridges the gap in the literature by successfully pricing both interest rates and interest rate options. The first m factors capture the yield curve variation, whereas the latter n factors capture the interest rate options movements that cannot be effec

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Aman. "Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions." Journal of Risk and Financial Management 12, no. 4 (2019): 158. http://dx.doi.org/10.3390/jrfm12040158.

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This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results suggest that the long-term factor of the yield curve is a negatively significant determinant of the CDS premia regardless of the sector and market state. The CDS spread of the financial sector exhibits sensitivity to the short-term factor of the yield rate in extreme market states. Basic materials, oil and

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Subramaniam, Sowmya, and Krishna P. Prasanna. "Inter-dependencies among Asian bond markets." Studies in Economics and Finance 34, no. 4 (2017): 485–505. http://dx.doi.org/10.1108/sef-11-2015-0273.

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Purpose The purpose of the paper is to investigate the global and regional influences on the domestic term structure of nine Asian economies. Design/methodology/approach The dynamic Nelson Siegel model was used to extract the latent factors of a country’s yield curve movements in a state-space framework using the Kalman filter. The global and regional factors of the yield curve were extracted using the dynamic factor model. Further, the Bayesian inference of Gibbs sampling approach was used to identify the influence of global and regional factors on the domestic yield curve. Findings The resul

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Umar, Zaghum, Yasir Riaz, and Adam Zaremba. "Spillover and risk transmission in the components of the term structure of eurozone yield curve." Applied Economics 53, no. 18 (2021): 2141–57. http://dx.doi.org/10.1080/00036846.2020.1856322.

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Mohapi, Tjhaka Alphons, and I. Botha. "The Explanatory Power Of The Yield Curve In Predicting Recessions In South Africa." International Business & Economics Research Journal (IBER) 12, no. 6 (2013): 613. http://dx.doi.org/10.19030/iber.v12i6.7868.

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The term structure of interest rates, particularly the term spreaddetermined from the difference between ten-year government bond yields andthree-month Treasury bill yields, has received increased attention as avaluable forecasting tool for the purposes of monetary policy and recessionforecasting. This is on the back of the observed positive relationship betweenterm spread and economic activity. Moreover, the term spread has been observedto invert prior to the occurrence of economic recessions both in developed anddeveloping countries.This study investigated the forecasting ability of the Sout

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Olivares Rios, Alejandra, Gabriel Rodríguez, and Miguel Ataurima Arellano. "Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors." Journal of Economic Studies 46, no. 3 (2019): 533–63. http://dx.doi.org/10.1108/jes-04-2017-0089.

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PurposeFollowing Ang and Piazzesi’s (2003) study, the authors use an affine term structure model to study the relevance of macroeconomic (domestic and foreign) factors for Peru’s sovereign yield curve in the period from November 2005 to December 2015. The paper aims to discuss this issue.Design/methodology/approachRisk premia are modeled as time-varying and depend on both observable and unobservable factors; and the authors estimate a vector autoregressive model considering no-arbitrage assumptions.FindingsThe authors find evidence that macro factors help to improve the fit of the model and ex

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Şahin, Şule, Andrew J. G. Cairns, Torsten Kleinow, and A. David Wilkie. "A yield-macro model for actuarial use in the United Kingdom." Annals of Actuarial Science 8, no. 2 (2014): 320–50. http://dx.doi.org/10.1017/s1748499514000116.

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AbstractWe construct yield curve models for the UK nominal, real and implied inflation spot rates considering the linkage between their term structures and some macroeconomic variables, in particular, realised inflation and real GDP growth. The paper extends the benchmark “yield-only” model proposed by Şahin et al. (2014) by exploring the bidirectional relations between the yield curve factors and the macroeconomic variables and proposes a “yield-macro” model. Although a simple autoregressive order one process fits the yield curve factors quite well the insertion of some macroeconomic variable

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Lorenčič, Eva. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve." Naše gospodarstvo/Our economy 62, no. 2 (2016): 42–50. http://dx.doi.org/10.1515/ngoe-2016-0011.

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Abstract Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of monetary and financial economics. Accurately fitting the term structure of interest rates is the backbone of a smoothly functioning financial market, which is why the testing of various models for estimating and predicting the term structure of interest rates is an important topic in finance that has received considerable attention for many d

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Kawakatsu, Hiroyuki. "Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors." Stats 3, no. 3 (2020): 284–329. http://dx.doi.org/10.3390/stats3030020.

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A dynamic version of the Nelson-Siegel-Svensson term structure model with time-varying factors is considered for predicting out-of-sample maturity yields. Simple linear interpolation cannot be applied to recover yields at the very short- and long- end of the term structure where data are often missing. This motivates the use of dynamic parametric term structure models that exploit both time series and cross-sectional variation in yield data to predict missing data at the extreme ends of the term structure. Although the dynamic Nelson–Siegel–Svensson model is weakly identified when the two deca

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Rendleman, Richard J. "Interpolating the Term Structure from Par Yield and Swap Curves." Journal of Fixed Income 13, no. 4 (2004): 80–89. http://dx.doi.org/10.3905/jfi.2004.391030.

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ELLIOTT, ROBERT J., and ROGEMAR S. MAMON. "A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL." International Journal of Theoretical and Applied Finance 06, no. 04 (2003): 317–26. http://dx.doi.org/10.1142/s0219024903001852.

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This paper aims to present a complete term structure characterisation of a Markov interest rate model. To attain this objective, we first give a proof that establishes the Unbiased Expectation Hypothesis (UEH) via the forward measure. The UEH result is then employed, which considerably facilitates the calculation of an explicit analytic expression for the forward rate f(t, T). The specification of the bond price P(t, T), yield rate Y(t, T) and f(t, T) gives a complete set of yield curve descriptions for an interest rate market where the short rate r is a function of a continuous time Markov ch

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Boukhatem, Jamel. "Does The Expectations Hypothesis Explain The Term Structure Of Treasury Bond Yields In Tunisia?" Journal of Applied Business Research (JABR) 32, no. 1 (2015): 239. http://dx.doi.org/10.19030/jabr.v32i1.9535.

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<p><em>This paper tests the expectations hypothesis (EH) using monthly data for Treasury bond yields (TBYs) over the period 1994m5–2014m12 and ranging in maturity from one year to 10 years. We apply cointegrated-VAR jointly on more than one pair of yields. The results suggest rejection of the EH throughout the medium maturity spectrum. However, for longer maturities they suggest the validity of the EH for the TBYs. This indeed confirms the smooth functioning of Tunisian bond market which gives an indication that the yield curve should serve as an indicator to the monetary policymak

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Lin, William T., and David S. Sun. "Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information." Review of Pacific Basin Financial Markets and Policies 10, no. 04 (2007): 491–518. http://dx.doi.org/10.1142/s0219091507001173.

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Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele equilibrium as well as information discovery. Specifically, we employ arguments from models of liquidity concentration and benchmark security information. After examining time series behavior of price errors against our fitted model, we find results consistent with both the horizon and information hypotheses.

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Bali, Turin G., and Ahmet K. Karagozoglu. "Pricing Eurodollar futures options using the BDT term structure model: The effect of yield curve smoothing." Journal of Futures Markets 20, no. 3 (2000): 293–306. http://dx.doi.org/10.1002/(sici)1096-9934(200003)20:3<293::aid-fut5>3.0.co;2-4.

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Bauer, Michael D., and Glenn D. Rudebusch. "Interest Rates under Falling Stars." American Economic Review 110, no. 5 (2020): 1316–54. http://dx.doi.org/10.1257/aer.20171822.

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Macro-finance theory implies that trend inflation and the equilibrium real interest rate are fundamental determinants of the yield curve. However, empirical models of the term structure of interest rates generally assume that these fundamentals are constant. We show that accounting for time variation in these underlying long-run trends is crucial for understanding the dynamics of Treasury yields and predicting excess bond returns. We introduce a new arbitrage-free model that captures the key role that long-run trends play in determining interest rates. The model also provides new, more plausib

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Cascaldi-Garcia, Danilo. "News Shocks and the Slope of the Term Structure of Interest Rates: Comment." American Economic Review 107, no. 10 (2017): 3243–49. http://dx.doi.org/10.1257/aer.20160547.

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Kurmann and Otrok (2013) establish that the effects on economic activity from news on future productivity growth are similar to the effects from unexpected changes in the slope of the yield curve. This comment shows that these results become substantially weaker in the light of a recent update in the utilization-adjusted total factor productivity series produced by Fernald (2014). (JEL E23, E32, E43, E52, G12)

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Kumar, Ronald Ravinesh, Peter Josef Stauvermann, and Hang Thi Thu Vu. "The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries." Journal of Risk and Financial Management 14, no. 2 (2021): 62. http://dx.doi.org/10.3390/jrfm14020062.

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The yield curve is an important tool to assess the economic progress of a country. In this study, we examine the strength of the relationship between term spread and economic activity, and between the components of the yield curve and economic activity in the G7 countries using monthly data on yield rates and seasonally adjusted data on the industrial production index (IPI). After matching the start and end date of the IPI with the yield rates, the data used and respective time period are as follows: Canada: March-1994 to December-2018, France: January-1999 to December-2018, Germany: October-2

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Gorash, Yevgen, and Donald MacKenzie. "On cyclic yield strength in definition of limits for characterisation of fatigue and creep behaviour." Open Engineering 7, no. 1 (2017): 126–40. http://dx.doi.org/10.1515/eng-2017-0019.

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AbstractThis study proposes cyclic yield strength as a potential characteristic of safe design for structures operating under fatigue and creep conditions. Cyclic yield strength is defined on a cyclic stress-strain curve, while monotonic yield strength is defined on a monotonic curve. Both values of strengths are identified using a two-step procedure of the experimental stress-strain curves fitting with application of Ramberg-Osgood and Chaboche material models. A typical S-N curve in stress-life approach for fatigue analysis has a distinctive minimum stress lower bound, the fatigue endurance

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REBONATO, RICCARDO, IVAN SAROKA, and VLAD PUTIATYN. "PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS." International Journal of Theoretical and Applied Finance 23, no. 02 (2020): 2050008. http://dx.doi.org/10.1142/s0219024920500089.

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This work builds on the work by Joslin et al. [(2011) A new perspective on Gaussian dynamic term structure Models, The Review of Financial Studies 24, 926–970] on the affine dynamics of portfolios of yields and addresses the unresolved issues of ‘internal consistency’ mentioned in the same paper. It shows the unexpected constraints that have to be satisfied by the [Formula: see text]-measure evolution of the yield curve if the portfolio of yields has to be interpreted as their principal components. This choice of state variables is common in the recent literature and so our findings are intrin

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Gümbel, Sandrine, and Thorsten Schmidt. "Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework." Risks 8, no. 2 (2020): 50. http://dx.doi.org/10.3390/risks8020050.

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Calibration is a highly challenging task, in particular in multiple yield curve markets. This paper is a first attempt to study the chances and challenges of the application of machine learning techniques for this. We employ Gaussian process regression, a machine learning methodology having many similarities with extended Kálmán filtering, which has been applied many times to interest rate markets and term structure models. We find very good results for the single-curve markets and many challenges for the multi-curve markets in a Vasiček framework. The Gaussian process regression is implemente

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Gallant, A. Ronald, and George Tauchen. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior." Journal of Risk and Financial Management 14, no. 3 (2021): 100. http://dx.doi.org/10.3390/jrfm14030100.

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We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior. Previous methods in the literature directly or indirectly use some particular parametric asset-pricing models such as with long-run risks or habits as the prior. Here, in contrast, we used no such model, but rather, we adopted a prior that enforces external information about the historically very low levels of U.S. short- and long-term interest rates. For clarity and simplicity, our data were annual time series. We used the extracted stochastic discount factor to determine the

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Kaminska, Iryna, Andrew Meldrum, and James Smith. "A GLOBAL MODEL OF INTERNATIONAL YIELD CURVES: NO-ARBITRAGE TERM STRUCTURE APPROACH." International Journal of Finance & Economics 18, no. 4 (2013): 352–74. http://dx.doi.org/10.1002/ijfe.1468.

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Majerowska, Ewa, and Jacek Bednarz. "Does the slope of the yield curve of the interbank market influence prices on the Warsaw Stock Exchange? A sectoral perspective." Przegląd Statystyczny 67, no. 4 (2021): 294–307. http://dx.doi.org/10.5604/01.3001.0014.8494.

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The interest rate curve is often viewed as the leading indicator of economic prosperity in a broad sense. This paper studies the ability of the slope of the yield curve in the term structure of interest rates to impact the sectoral indices on the Warsaw Stock Exchange, using daily data covering the period from 1 January 2001 to 30 September 2020. The results of the research indicate an ambiguous dependence of the logarithmic rates of return of sub-indices on the change of the interbank interest rate curve. The only sectors showing a clear relationship of this type is energy and pharmaceuticals

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