07.02.2023: ‪Refet Gürkaynak‬ – News and noise shaping international yield curves

Presenter: ‪Refet S. Gürkaynak‬ Affiliation: Bilkent University, Department of Economics Paper: News and Noise Shaping International Yield Curves Date: February 7, 2023 Time: 13:00 GMT (15:00 Israel Time) Abstract: We study the joint response of US and euro area yields to both US and euro area news using a new semi-latent factor methodology, where some … Read more

15.11.2022: Julia Schaumburg – Networking the yield curve: implications for monetary policy

Presenter: Julia Schaumburg Affiliation: Vrije Universiteit Amsterdam, School of Business and Economics, Econometrics and Data Science. Paper: Networking the Yield Curve: Implications for Monetary Policy Date: November 15, 2022 Time: 13:00 GMT (15:00 Israel Time) Abstract: We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, … Read more

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