Dynamics of the term structure of UK interest rates
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- Francesco Bianchi & Haroon Mumtaz, 2010. "Dynamics of the Term Structure of UK Interest Rates," Working Papers 10-38, Duke University, Department of Economics.
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Citations
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Cited by:
- Ferman, Marcelo, 2011.
"Switching Monetary Policy Regimes and the Nominal Term Structure,"
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5, CEPREMAP.
- Marcelo Ferman, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," FMG Discussion Papers dp678, Financial Markets Group.
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International Journal of Central Banking, International Journal of Central Banking, vol. 14(3), pages 167-227, June.
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- Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
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Empirical Economics, Springer, vol. 46(3), pages 827-842, May.
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- Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014.
"What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism,"
Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
- Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2011. "What lies beneath? A time-varying FAVAR model for the UK transmission mechanism," Working Paper Series 1320, European Central Bank.
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More about this item
Keywords
Term structure; time-varying VAR; Bayesian estimation;All these keywords.
JEL classification:
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2009-03-28 (Central Banking)
- NEP-FMK-2009-03-28 (Financial Markets)
- NEP-MAC-2009-03-28 (Macroeconomics)
- NEP-MON-2009-03-28 (Monetary Economics)
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