A model of the euro-area yield curve with discrete policy rates.
Year of publication: |
2012
|
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Authors: | Renne, J-P. |
Institutions: | Banque de France |
Subject: | affine term-structure models | zero lower bound | regime switching | forward policy guidance |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 51 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing |
Source: |
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Regime switching in bond yield and spread dynamics
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