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Using principal components analysis, this paper derives a direct measure of movements in the level and slope of the certificate of deposit yield curve. Appealing to the efficient markets view of the term structure of interest rates, evidence is reported which suggests that changes in Treasury...
Persistent link: https://www.econbiz.de/10005251352
This paper presents new tests of the efficient markets view of the interest rate term structure utilizing recently developed cointegration methodology in a bivariate autoregressive system consisting of the "spread" between long and short interest rates and the change in the Treasury Bill rate....
Persistent link: https://www.econbiz.de/10005312878
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