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  • 2022
  • Working Paper

The Fed and the Secular Decline in Interest Rates
By: Sebastian Hillenbrand
In this paper I document a striking fact: a narrow window around Fed meetings fully captures the secular decline in U.S. Treasury yields since 1980. By contrast, yield movements outside this window are transitory and wash out over time. This is surprising because the...  View Details
Keywords: United States Treasury; Monetary Policy; Yield Curve; Central Banking; Interest Rates; Valuation
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  • 2018
  • Working Paper

The Impact of Pensions and Insurance on Global Yield Curves
By: Robin Greenwood and Annette Vissing-Jorgensen
We document a strong effect of pension and insurance company (P&I) assets on the long end of the yield curve. Using data from 26 countries, the yield spread between 30-year and 10-year government bond yields is negatively related to the ratio of pension assets (in...  View Details
Keywords: Pension Funds; Investment Funds; Insurance; Assets; Interest Rates; Bonds
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  • 2016
  • Chapter

Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
By: Robin Greenwood, Samuel Gregory Hanson and Dimitri Vayanos
We present a model of the yield curve in which the central bank can provide market participants with forward guidance on both future short rates and on future Quantitative Easing (QE) operations, which affect bond supply. Forward guidance on short rates works through...  View Details
Keywords: Central Banking; Financial Markets
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  • June 2012
  • Article

Comovement and Predictability Relationships Between Bonds and the Cross-Section of Stocks
By: Malcolm Baker and Jeffrey Wurgler
Government bonds comove more strongly with bond-like stocks: stocks of large, mature, low-volatility, profitable, dividend-paying firms that are neither high growth nor distressed. Variables derived from the yield curve that are already known to predict returns on...  View Details
Keywords: Relationships; Bonds; Stocks; Investment Return; Cash Flow; Quality; Risk and Uncertainty; Forecasting and Prediction; Profit
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  • December 2004
  • Teaching Note

Yield Curves and Bond Ratings Tutorial (TN)
By: William E. Fruhan Jr.
Teaching Note to (9-204-712).  View Details
Keywords: Internet and the Web; Education; Debt Securities; Service Operations; Measurement and Metrics; Performance Evaluation; Education Industry
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  • April 2004
  • Tutorial

Yield Curves and Bond Ratings Tutorial
By: William E. Fruhan Jr.
To preview this online product, Authorized Faculty can call our customer service department at 1-800-545-7685 or 617-783-7600. This online tutorial explains what drives the shape of the yield curve for traded debt securities. Also describes the metrics used by rating...  View Details
Keywords: Bonds; Investment Return; Financial Services Industry
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  • Article

New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates
By: K. A. Froot
Keywords: Rational Expectations; Yield Curve; Interest Rates; Asset Pricing; Behavioral Finance
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  • Article

Experimental Evaluation of Individualized Treatment Rules
By: Kosuke Imai and Michael Lingzhi Li
The increasing availability of individual-level data has led to numerous applications of individualized (or personalized) treatment rules (ITRs). Policy makers often wish to empirically evaluate ITRs and compare their relative performance before implementing them in a...  View Details
Keywords: Causal Inference; Heterogeneous Treatment Effects; Precision Medicine; Uplift Modeling; Analytics and Data Science; AI and Machine Learning
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