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Computing equilibrium bond prices in the Vayanos-Vila model

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Computing Equilibrium Bond Prices in the Vayanos-Vila Model

Hayashi, Fumio - 2017

We develop tools for computing equilibrium bond prices for the discrete-time version of the Vayanos-Vila (2009) model. With the maturity structure included in pricing factors, factor loadings for equilibrium bond yields depends on parameters describing maturity structure dynamics and other model...

Persistent link: https://www.econbiz.de/10012944812