Nominal yields on government debt in several countries have fallen very near their zero
lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic …

The constant maturity zero-coupon yield curve for the US Treasuries is one of the most
studied datasets. We construct a new yield curve using a non-parametric kernel-smoothing …

Nearly all studies that analyze the term structure of interest rates take a two-step approach.
First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and …

Exploiting the unique" twin'" structure of German government green and conventional
securities, we use a dynamic term structure model to estimate a frictionless sovereign risk …

To analyse the evolution of the effects of quantitative easing and tightening across
consecutive announcements, we focus on their unexpected component. Treasury yield …

W hat securities should the US Treasury offer? Traditionally, the Treasury has offered long-
term coupon bonds, short-term notes and bills, and retail savings bonds, securities not much …

We price the risky component of specialness spreads—identified by their deviations from the
expected auction cycle—within a dynamic term structure model estimated using daily prices …

Purpose In this research, arbitrage opportunity is tested between the yield rates computed
by the NSS model, and the computed forward rates between conventional and Islamic …

The questions to answer are straightforward: What do we learn about bond return or yield
change predictability? In particular, do macro variables or yield information past 3 principal …

Abstract Analysis of the term structure of interest rates almost always takes a two-step
approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon …