Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2009
rates, we estimate a six-factor arbitrage-free model of U.S. Treasury yields, financial corporate bond yields, and term … interbank rates. This model can account for fluctuations in the term structure of credit risk and liquidity risk. A significant … help lower the liquidity premium in term interbank rates. …