Gil-Bazo, Javier; Rubio, Gonzalo - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 3, pp. 1117-1117
In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient...
