This paper models the evolution of monetary policy, the term structure of interest rates and
the UK economy across policy regimes. We model the interaction between the …

The conduct of monetary policy, the term structure of interest rates and the structure of the
economy in the UK have changed over the post-WWII period. We model the interaction …

The expectations model of the term structure states that the yields to maturity of long-term
bonds are equal to the average of expected future short-term bond yields. This venerable …

During the past decade, much new research has combined elements of finance, monetary
economics and macroeconomics in order to study the relationship between the term …

This paper provides a new analysis of the effects of monetary policy on the term structure of
interest rates using a tractable dynamic asset pricing model which incorporates a responsive …

This paper investigates how the regime shifts in the term structure of interest rates are
related to changes in monetary policy. For this purpose, this paper introduces regime shifts …

We investigate how the entire term structure of interest rates is influenced by changes in
monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term …

This work extends the strand of literature that examines the relation between the term
structure of interest rates and macroeconomic variables. The yield curve is summarized by …

We present and estimate a continuous time term structure model that incorporates
observable macroeconomic variables and latent variables with a clear macroeconomic …

We estimate a dynamic model for yield curve incorporating latent and macro factors to
describe the joint dynamics of term structure of interest rate and macroeconomic variables in …