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01495cas a2200241 a 4500 |
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AALejournalIMF003078 |
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230101c9999 xx r poo 0 0eng d |
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|c 5.00 USD
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|z 9781451931457
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Taylor, Mark.
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|a Modelling the Yield Curve /
|c Mark Taylor.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 1991.
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| 300 |
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|a 1 online resource (38 pages)
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|a IMF Working Papers
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| 500 |
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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| 500 |
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium.
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| 538 |
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 1991/134
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/1991/134/001.1991.issue-134-en.xml
|z IMF e-Library
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