Uncertainty and the price of risk in a nominal convergence process
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- Rocío Elizondo, 2013. "Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model," Working Papers 2013-03, Banco de México.
- Mencía, Javier, 2012.
"Assessing the risk-return trade-off in loan portfolios,"
Journal of Banking & Finance,
Elsevier, vol. 36(6), pages 1665-1677.
- Javier Mencía, 2009. "Assessing the risk-return trade-off in loans portfolios," Working Papers 0911, Banco de España;Working Papers Homepage.
- Ricardo Gimeno & José Manuel Marqués, 2009. "Extraction of financial market expectations about inflation and interest rates from a liquid market," Working Papers 0906, Banco de España;Working Papers Homepage.
More about this item
KeywordsReal interest rates; Risk Premium; Inflation expectations; Affine Model;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-02 (All new papers)
- NEP-CBA-2008-02-02 (Central Banking)
- NEP-EEC-2008-02-02 (European Economics)
- NEP-MAC-2008-02-02 (Macroeconomics)
- NEP-MON-2008-02-02 (Monetary Economics)
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