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- Title
A no-arbitrage structural vector autoregressive model of the UK yield curve.
- Abstract
The article provides an understanding about the behavior and the term structure of interest rates in Great Britain. Accordingly, it connects the term structure of nominal interest rates to the wider economy in Great Britain by assuming that all risks affecting the pricing behavior of agents are associated to the underlying macroeconomic shocks. It then discusses the two research on interest rates such as the finance approach to yield curves, and the empirical macroeconomic modelling.
- Subjects
UNITED Kingdom; INTEREST rates; YIELD curve (Finance); INVESTMENT analysis; MONETARY policy
- Publication
Bank of England Quarterly Bulletin, 2009, Vol 49, Issue 1, p45
- ISSN
0005-5166
- Publication type
Article