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...

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Автор: Abbritti, Mirko
Інші автори: Dell'Erba, Salvatore, Moreno, Antonio, Sola, Sergio
Формат: Журнал
Мова:English
Опубліковано: Washington, D.C. : International Monetary Fund, 2013.
Серія:IMF Working Papers; Working Paper ; No. 2013/223
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Онлайн доступ:Full text available on IMF