A VAR-based factor decomposition to the term structure of treasury bonds
Mengxue Zhao and Dejun Xie, David A. Edwards, Yujian Liu
| Year of publication: |
2023
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|---|---|
| Authors: | Zhao, Mengxue ; Xie, Dejun ; Edwards, David A. ; Liu, Yujian |
| Published in: |
International journal of monetary economics and finance : IJMEF. - Genève [u.a.] : Inderscience Enterprises, ISSN 1752-0487, ZDB-ID 2471959-6. - Vol. 15.2022, 6, p. 585-613
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| Subject: | term structure of interest rates | financial crisis | bond yield curve | VAR model | variance decomposition | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | VAR-Modell | Theorie | Theory | Dekompositionsverfahren | Decomposition method | Anleihe | Bond | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Staatspapier | Government securities |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJMEF.2022.128506 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014320543