Because the option to call a corporate bond should rise in value when bond yields fall, the relation between noncallable Treasury yields and spreads of corporate bond yields over Treasury yields should depend on the callability of the corporate bond. I confirm this hypothesis for investment

No consensus has yet emerged from the existing credit risk literature on how much of the observed corporate-Treasury yield spreads can be explained by credit risk. In this paper, we propose a new calibration approach based on historical default data and show that one can indeed obtain consistent

Stock market valuation and Treasury yield determination are consistent with the Fisher

Many recent advances in the term structure literature have focused on model speci…ca-tion and estimation. Forecasting the yield curve is critically important, but it has thus far not been explicitly taken into account at the estimation stage. We propose to estimate term structure models by aligning

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on the short-end slope. The Fama and French systematic risk factors are significant and negative. In the long run, credit spread is positively related to volatility, two-year and 30-year Treasury yields; and is negatively related to S&P500 level. However, there is no cointegration in any pairs of credit

We study the effect of different types of macroeconomic impulses on the nominal yield curve. We employ two distinct approaches to identifying economic shocks in VARs. Our first approach uses a structural VAR due to Galí (1992). Our second strategy identifies fundamental impulses from alternative

Preliminary. Typos and grammar to be fixed, citations to be added At the quarterly frequency from 1968 through 2012, shocks to expected average inflation over a bond’s life account for about 15 percent of shocks to nominal Treasury yields. Shocks to real rates and term premia account

This decline in mortgage inter-est rates mirrored a fall in the 10-year Treasury bond yield (the interest rate on the bond), as shown in the left panel of Figure 1. In fact—as shown in the right panel of Figure 1—mortgage interest rates almost always mirror the yields on long-term Treasury bonds

I introduce Czech Treasury yield curve estimates at a daily frequency from 1999 to the present. I use a well-known and simple yield curve model that is shown to fit the data very well. The estimation of the model parameters is based on market prices of Czech government bonds. The estimated