Global Factors in the Term Structure of Interest Rates /
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to expla...
| Autor Principal: | |
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| Outros autores: | , , |
| Formato: | Revista |
| Idioma: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2013.
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| Series: | IMF Working Papers; Working Paper ;
No. 2013/223 |
| Subjects: | |
| Acceso en liña: | Full text available on IMF |