The role of oil and risk shocks in the high-frequency movements of the term structure of interest rates : evidence from the U.S. Treasury market
Year of publication: |
2023
|
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Authors: | Gupta, Rangan ; Shahzad, Syed Jawad Hussain ; Sheng, Xin ; Subramaniam, Sowmya |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 2, p. 1845-1857
|
Subject: | causality-in-quantiles test | oil supply and demand shocks | risk shock | yield curve factors | Zinsstruktur | Yield curve | Schock | Shock | USA | United States | Schätzung | Estimation | VAR-Modell | VAR model | Staatspapier | Government securities | Ölpreis | Oil price |
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