The functional form of yield curves
AbstractYield 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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Bibliographic InfoPaper provided by European Central Bank in its series Working Paper Series with number 0148.
Date of creation: May 2002
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- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- 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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