Ehrmann, Michael; Fratzscher, Marcel; Gürkaynak, Refet S. - 2007
Francisco, CA 94105, USA;
e-mail: eric.swanson@sf.frb.org
ECB LAMFALUSSY FELLOWSHIP
PROGRAMME
© European Central Bank, 2007 … maturities across all the different country’s
markets. We explore this implication using principal components analysis. Let X … year yields) in different countries’ sovereign bond markets. X can be
written as:
XF I -
where F is a T …