London: The EBRD supported the new modelling of a sovereign benchmark yield curve
in Tunisia, a building block for developing capital markets in Tunisian dinar.
Since last month, the yield curve
flattened sharply, more than reversing the sharp gain in September.
This article establishes that most yield curve
models within the popular Nelson and Siegel (1987, hereafter NS) class may be obtained as a formal Taylor approximation to the dynamic component of the generic Gaussian affine term structure model outlined in Dai and Singleton (2002).
Indeed, you can already see the shape of that recovery in the yield curve
The amount of commercial paper outstanding is rising, the slope of the yield curve
is steepening and energy prices have fallen sharply.
The IRS has issued guidance on the methodology used to produce the corporate bond yield curve
and segmented rates as part of enhanced pension funding rules for companies enacted by the Pension Protection Act of 2006.
Davis points out that a number of observers have expressed surprise that an inverted yield curve
between long- and short-term interest rates would develop in the capital markets at a time when the economy did not appear to be in any immediate danger of tanking.
modeling is used in the decision-making process of pricing and valuation in financial institutions.
Though traditionally among the most accurate of economic forecasting instruments, the yield curve
is at odds with many other current predictions.
short-term interest rates at extraordinary lows (at one point the Fed funds rate was set at 1 percent), financial institutions would borrow on the short end of the yield curve
and buy the long end, guaranteeing a nice profit even before taking any risk.
Equity-market volatility and a sloping fixed-securities yield curve
were primarily responsible for the surge in fixed-annuity sales, said Brad Powell, president of Jackson National Life Insurance Co.
By moving this structural cash balance farther out the yield curve
, to an average maturity of two years and a maximum maturity of three years for any single issue, the benefit of an upward-sloping yield curve
and wider credit spreads will accrue.