Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10000889012
Persistent link: https://www.econbiz.de/10000932356
Persistent link: https://www.econbiz.de/10000981021
What explains the sharp movements of the yield curve in response to major U.S. macroeconomic announcements? To answer this question, we estimate an arbitrage-free dynamic term structure model with macroeconomic fundamentals as risk factors. We assume that the yield curve reacts to announcements...
Persistent link: https://www.econbiz.de/10012940945