Subramaniam, Sowmya; Prasanna, Krishna P. - In: Studies in Economics and Finance 34 (2017) 4, pp. 485-505
Purpose The purpose of the paper is to investigate the global and regional influences on the domestic term structure of nine Asian economies. Design/methodology/approach The dynamic Nelson Siegel model was used to extract the latent factors of a country’s yield curve movements in a state-space...