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MODEL OF THE CYCLICAL BEHAVIOR OF THE TERM
3c The Complete Model of the Yield Curve
AN EXPLORATORY ANALYSIS OF INTEREST RATE
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adjustment Ap(t arbitrage assets assumed assumption CDEPR Chapter COMPR confirmatory model covariance covariance matrix cycles cyclical behavior density matrix determine distributed lag economic empirical equation expectations hypothesis exploratory model factor analysis factor correlations Factor Loadings factor model feedback effects Fisher hypothesis forecasting forward rate Frequency NTBL3 function Geweke government securities GUSM1 hedging implies information sets interest rate behavior investors liquidity premiums long-term rates m-period Marginal significance levels market-specific disturbances maturity spectrum model including monetary policy money supply nominal factor nominal interest rates NTBL3 OGI12 parameters past values period portfolio effect pure segmentation rate of interest rates of inflation rational expectations real activity real and nominal real factor real rate rejected RRREQ GB10+ segmentation hypothesis serially uncorrelated short-term securities spectral density spectral density matrix speculative spot rate structure of interest suggests term to maturity test statistics tion two-factor model yield curve yields to maturity zero