The shape of sovereign yield curve in an emerging economy: Do macroeconomic or external factors matter?
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DOI: 10.1007/s10663-018-9405-y
Abstract: We study the dynamic relation between sovereign yield curve and external shocks driven by global uncertainty and capital inflows. A Nelson–Siegel model is estimated to capture the three latent factors of the yield curve corresponding… read more here.
Keywords: sovereign yield; yield curve; external factors; shape ... See more keywords