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- Title
Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve.
- Abstract
The article examines the reasons of the decline in long-term rates in major international bond markets in 2004-2005 in Great Britain. Accordingly, it estimated several empirical models of the term structure of real interest rates in order to shed light on what accounts for the phenomenon of low long real rates. It then discussed the results of models which suggest that reductions in term premia played an important role in explaining the decline in long real rates in Great Britain.
- Subjects
UNITED Kingdom; FINANCE; INTEREST rates; INVESTMENT interest; MONEY market
- Publication
Bank of England Quarterly Bulletin, 2009, Vol 49, Issue 1, p46
- ISSN
0005-5166
- Publication type
Article