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From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
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We investigate the synchronization of Eurozone's government bond yields at different maturities. For this purpose, we … combine principal component analysis with random matrix theory. We find that synchronization depends upon yields maturity … partially recover after 2015. We show the existence of a duality between our empirical results and portfolio theory and we point …
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