Conditional skewness of Treasury yields is an important indicator of the risks to the
macroeconomic outlook. Positive skewness signals upside risk to interest rates during …

This paper analyzes the effects of the lower bound for interest rates on the distributions of
inflation and interest rates. In a New Keynesian model with a lower bound, two equilibria …

Although “betting against beta” with government bonds (BABgov) seems profitable,
questions remain. First, to what extent are BABgov profits an anomaly? Previous studies do …

The century low, near-zero short-term interest rates in the USA, Euro Area, the UK and
Japan after the Great Recession of 2008/2009 and the European Sovereign Debt Crisis of …

In this article, we extend the 1978 Breeden-Litzenberger method of extracting state prices
from option prices, showing how portfolios of butterfly spreads can be combined with right …

This paper studies the extent to which investor sentiment affects the Eurodollar option smile
and finds that there is the dynamic interplay between sentiment-driven investors and …

Given a relaxation of the expectations hypothesis of interest rates and an estimate of the
term premium, the remaining assumption that anticipated distant-horizon nominal expected …

The consensus suggests that subdued nominal US Treasury yields on balance since the
onset of the global financial crisis primarily reflect exceptionally low, if not occasionally …

The conditional skewness of Treasury yields is an important indicator of the risks to the
macroeconomic outlook. Positive skewness signals upside risk to interest rates during …

This article outlines two general approaches to disentangle expected defaults and
anticipated devaluations from distressed sovereign spreads. The first uses affine term …