Decomposing the yield curve with linear regressions and survey information
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- Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
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More about this item
Keywords
Affine Term Structure Models; Empirical Finance;JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ISF-2021-09-13 (Islamic Finance)
- NEP-MAC-2021-09-13 (Macroeconomics)
- NEP-MON-2021-09-13 (Monetary Economics)
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