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What makes the yield curve move?

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  • Tao Wu

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  • Tao Wu, 2003. "What makes the yield curve move?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun6.
    • Handle: RePEc:fip:fedfel:y:2003:i:jun6:n:2003-15
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    File URL: http://www.frbsf.org/publications/economics/letter/2003/el2003-15.pdf
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    References listed on IDEAS

    as
    1. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
    2. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
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    Cited by:

    1. Bautista, Rafaél & Riáscos, Álvaro & Suárez, Nicolás, 2007. "La aplicación de un modelo de factores a las curvas de rendimiento del mercado de deuda pública colombiano," Galeras. Working Papers Series 014, Universidad de Los Andes. Facultad de Administración. School of Management.
    2. Seungho Baek & Jeong Wan Lee & Kyong Joo Oh & Myoungji Lee, 2020. "Yield curve risks in currency carry forwards," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 651-670, April.
    3. Bautista, Rafaél & Rodríguez, Eric, 2007. "La eficiencia de los mercados de renta fija en Colombia," Galeras. Working Papers Series 013, Universidad de Los Andes. Facultad de Administración. School of Management.
    4. David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022. "On the transmission mechanism of Asia‐Pacific yield curve characteristics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 473-488, January.

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