US and EA yield curve persistence during the COVID-19 pandemic
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DOI: 10.1016/j.frl.2021.102087
Abstract: Abstract This paper investigates changes in persistence caused by the COVID-19 pandemic in the US and EA yield curves. We extract the long-term, short-term and medium-term factors and proxy the persistence by estimating the autoregressive… read more here.
Keywords: yield curve; curve persistence; term; persistence ... See more keywords