Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.11.009
Abstract: We analyze money market dynamics under a long-run equilibrium framework where commonly-monitored spreads serve as error correction terms, derived from a structural model incorporating autocorrelated risk premia, interest rate smoothing and monetary policy feedback. Using… read more here.
Keywords: term structure; interest; nonlinear equilibrium; interest rates ... See more keywords