Search Results - subject:"affine term structure models"

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; éSustek, Roman - 2020

Monetary policy moves the yield curve. How much is due to expected interest rates vs. term premia? And does it matter for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is subject to restrictions addressing an estimation bias in...

Persistent link: https://www.econbiz.de/10012670880

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

Persistent link: https://www.econbiz.de/10012316011

A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models

Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220

Persistent link: https://www.econbiz.de/10013262506

Bond risk premia and restrictions on risk prices

Hevia, Constantino; Sola, Martin - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-22

Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on … overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk …

Persistent link: https://www.econbiz.de/10012611069