Monetary Policy and the Yield Curve

Preprint

1 January 2003

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.410763

Abstract

This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap d

Keywords

AFFINE MODELS
EXPECTATIONS HYPOTHESIS
LATENT FACTORS
EURODOLLAR FUTURES

All Related Versions

Version 1, 2003-01-01, RePEc (Unconfirmed version)

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