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The functional form of yield curves

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  • Brousseau, Vincent
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    Abstract

    Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible interpretations of this phenomenon. JEL Classification: G10, G12, G13

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    File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp148.pdf
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    Bibliographic Info

    Paper provided by European Central Bank in its series Working Paper Series with number 0148.

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    Date of creation: May 2002
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    Handle: RePEc:ecb:ecbwps:20020148

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    Cited by:
    1. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004. "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers 10616, National Bureau of Economic Research, Inc.
    2. Brand, Claus & Buncic, Daniel & Turunen, Jarkko, 2006. "The impact of ECB monetary policy decisions and communication on the yield curve," Working Paper Series 0657, European Central Bank.
    3. Brousseau, Vincent & Durré, Alain, 2013. "Interest rate volatility: a consol rate-based measure," Working Paper Series 1505, European Central Bank.
    4. Manousopoulos, Polychronis & Michalopoulos, Michalis, 2009. "Comparison of non-linear optimization algorithms for yield curve estimation," European Journal of Operational Research, Elsevier, vol. 192(2), pages 594-602, January.
    5. David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Working Papers 04-48, Bank of Canada.

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