US and EA yield curve persistence during the COVID-19 pandemic

Finance Research Letters（2022）

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摘要

•This paper investigates changes in persistence caused by the COVID 19 pandemic in the US and EA yield curves.•The long term, short term and medium term factors are extracted and the persistence is proxied by estimating the autoregressive coefficient of each factor.•To examine the time varying effects, we employ a local linear estimation.•Our findings suggest that the US long term and short term factors exhibited explosive behaviour while the EA factors diminished in persistence, making the EA yield curve more predictable

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关键词

Term structure,Yield curve,Nelson-siegel,Coronavirus,COVID-19,Time-varying coefficient models,Autoregressive processes,US,Euro-area

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