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A large part of the term structure literature interprets the first underlying factors as a level factor, a slope factor, and a curvature factor. In this paper we consider factor models interpretable as a level factor model, a level and a slope factor model, respectively. We prove that such...
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In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knwoledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...
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's original views about the rate of interest on bank credit have barely been commented so far. In this paper, we endeavour to link … these views with his theory of central banking in order to demonstrate that Thornton advocated an active use of the Bank of … quantity of circulating banknotes. Nevertheless, Thornton does not appear to have conceived the Bank's rate as a true " key …
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