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The Pavlovian response of term rates to Fed announcements

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Time varying term premia and risk : the case of the Spanish interbank money market

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Switching-regime models in the Spanish inter-bank market

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Interest rate expectations and the slope of the money market yield curve

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Interest Rate Expectations and the Slope of the Money Market Yield Curve

Cook, Timothy - 2012

has been on tests of the “expectations theory.” According to the theory, changes in the slope of the yield curve should … slope of the current yield curve. The expectations theory suggests that variation in the slope of the yield curve should be … prediction of the theory is supported by the data. A surprising finding is that parts of the yield curve have been useful in …

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