A Two-Factor Model of the U.K. Yield Curve
The author models the forward premium in the U.K. gilt-edged market over the period 1982 to 1996 using a two-factor general equilibrium model of the term structure of interest rates. The model permits the decomposition of the forward premium into separate components representing interest rate expectations, the risk premia associated with each of the underlying factors, and terms capturing the direct impact of the variances of the factors on the shape of the forward curve. Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Volume (Year): 65 (1997)
Issue (Month): 0 (Supplement)
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