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Modeling Bond Yields in Finance and Macroeconomics
Finance Macroeconomics
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2015/7/23
From a macroeconomic perspective, the shortterm interest rate is a policy instrument under
the direct control of the central bank, which
adjusts the rate to achieve its economic stabilzation goals. ...
Bond Yields and the Federal Reserve
Federal Reserve Bond Yields
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2015/7/23
Bond yields respond to policy decisions by the Federal Reserve and
vice versa. To learn about these responses, I model a high-frequency
policy rule based on yield curve information and an arbitrage-...
The US stock market leads the Federal funds rate and Treasury bond yields
time series the stock market FFR
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2011/3/23
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the the...
Validating Forecasts of the Joint Probability Density of Bond Yields:...
Density forecast Affine term structure models Probability integral transform Financial risk management Value at risk Fixed-income portfolio management
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2011/4/2
Most existing empirical studies on affine term structure models (ATSMs) have mainly focused on in-sample goodness-of-fit of historical bond yields and ignored out-of-sample forecast of future bond yie...