Macroeconomic and monetary policy surprises and the term structure of interest rates
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More about this item
Keywordsinflation risk premium; affine term structure; Kalman filter; macroeconomic and monetary surprises;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-18 (All new papers)
- NEP-CBA-2013-10-18 (Central Banking)
- NEP-EEC-2013-10-18 (European Economics)
- NEP-MON-2013-10-18 (Monetary Economics)
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