The Cyclical Behavior of the Term Structure of Interest Rates |
Contents
MODEL OF THE CYCLICAL BEHAVIOR OF THE TERM | 20 |
3c The Complete Model of the Yield Curve | 47 |
AN EXPLORATORY ANALYSIS OF INTEREST RATE | 59 |
Copyright | |
4 other sections not shown
Common terms and phrases
adjustment Ap(t arbitrage assets assumed assumption CDEPR Chapter COMPR confirmatory model covariance covariance matrix cycles cyclical behavior density matrix distributed lag economic empirical equation expectations hypothesis exploratory model factor analysis factor correlations Factor Loadings factor model feedback effects Fisher hypothesis forecasting forward rate function Geweke government securities GUSM1 hedging implies information sets interest rate behavior investors liquidity premiums long-term rates m-period macro variables Marginal significance levels market-specific disturbances maturity spectrum model including monetary policy money supply monthly nominal factor nominal interest rates overall parameters past values period portfolio effect pure segmentation R₂ rate of interest rates of inflation rational expectations real activity real and nominal real factor real rate rejected segmentation hypothesis 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