This paper employs an approximation that makes a nonlinear term structure model
extremely tractable for analysis of an economy operating near the zero lower bound for …

The 20th anniversary of Economic and Monetary Union (EMU) offers an opportunity to look
back on the ECB's record and learn lessons that can improve the conduct of policy in the …

We document a regime change in the Treasury market post-Global Financial Crisis (GFC):
dealers switched from net short to net long Treasury bonds. We construct “net-long” and “net …

Previous research has emphasized the portfolio balance effects of Federal Reserve bond
purchases, in which a reduced bond supply lowers term premia. In contrast, we find that …

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 …

This chapter reviews some of the academic literature that links nominal and real term
structures with the macroeconomy. The main conclusion is that none of our models is …

We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …

This paper quantifies how variation in economic activity and inflation in the United States
influences the market prices of level, slope, and curvature risks in Treasury markets. We …

On 1 June 2018 the ECB celebrated its 20th anniversary. This paper provides a
comprehensive view of the ECB's monetary policy over these two decades. The first section …

Previous research has established that the Federal Reserve's large scale asset purchases
(LSAPs) significantly influenced international bond yields. We use dynamic term structure …