The Term Structure of Liquidity Premia in the U.S. Treasury Market

2010 ◽  
Author(s):  
Wolfgang Bühler ◽  
Volker Vonhoff
Keyword(s):  
Term Structure ◽  
Treasury Market ◽  
Liquidity Premia ◽  
The U.S

Term Structures of Liquidity Premia in the U.S. Treasury Market

2011 ◽  
Author(s):  
Wolfgang Bühler ◽  
Volker Vonhoff
Keyword(s):  
Term Structures ◽  
Treasury Market ◽  
Liquidity Premia ◽  
The U.S

scholarly journals The role of oil and risk shocks in the high‐frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market

2021 ◽  
Author(s):  
Rangan Gupta ◽  
Syed Jawad Hussain Shahzad ◽  
Xin Sheng ◽  
Sowmya Subramaniam
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
High Frequency ◽  
Treasury Market ◽  
The U.S

scholarly journals Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models

2012 ◽  
Author(s):  
Robert F. Engle ◽  
Michael J. Fleming ◽  
Eric Ghysels ◽  
Giang Nguyen
Keyword(s):  
Order Book ◽  
New Class ◽  
Treasury Market ◽  
The U.S

END-OF-DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK

2005 ◽  
Vol 28 (1) ◽  
pp. 97-113 ◽  
Author(s):  
Susan D. Jordan ◽  
David R. Kuipers
Keyword(s):  
New York ◽  
Federal Reserve ◽  
Federal Reserve Bank ◽  
Reserve Bank ◽  
Treasury Market ◽  
The U.S

Yield Curves, Swap Curves, and Term Structure of Interest Rates

2019 ◽  
pp. 203-228
Author(s):  
Tom P. Davis ◽  
Dmitri Mossessian
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Yield Curves ◽  
No Arbitrage ◽  
Interest Rate Swap ◽  
The Interest Rate ◽  
Rate Swap ◽  
The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

scholarly journals Forecasting Term Structure of Interest Rates in Japan

2019 ◽  
Vol 7 (3) ◽  
pp. 39 ◽  
Author(s):  
Ishii
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Term Structure ◽  
Bond Markets ◽  
Forecast Horizon ◽  
Forecast Performance ◽  
Crisis Period ◽  
Long Period ◽  
The U.S ◽  
Dns Model

In this paper, we examined and compared the forecast performances of the dynamic Nelson–Siegel (DNS), dynamic Nelson–Siegel–Svensson (DNSS), and arbitrage-free Nelson–Siegel (AFNS) models after the financial crisis period. The best model for the forecast performance is the DNSS model in the middle and long periods. The AFNS is inferior to the DNS model for long-period forecasting. In U.S. bond markets, AFNS is shown to be superior to DNS in the U.S. However, for Japanese data, there is no evidence that the AFNS is superior to the DNS model in the long forecast horizon.

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