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 … corporate bond yields, and term
interbank rates. This model can account for uctuations in the term structure of credit
risk and … Central Bank (ECB), the Federal Reserve, and the Swiss
National Bank jointly announced a set of measures designed to address …