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- Title
Expectations, risk premia and information spanning in dynamic term structure model estimation.
- Abstract
A summary of the research paper "Working Paper No. 489" written by banking personnel Rodrigo Guimarães for the central bank of Great Britain, the Bank of England is presented. Topics discussed include the importance of market interest rates in the monetary transmission mechanism, factors that contribute to lowered market rates, and the different types of Gaussian affine dynamic term structure models used in measuring implied decomposition and bond yields.
- Subjects
WORKING papers; CENTRAL banking industry; INTEREST rates; TRANSMISSION mechanism (Monetary policy); BONDS (Finance)
- Publication
Bank of England Quarterly Bulletin, 2014, Vol 54, Issue 2, p240
- ISSN
0005-5166
- Publication type
Article