A global model of international yield curves: no-arbitrage term structure approach
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Cited by:
- Mikhail Chernov & Drew Creal, 2023.
"International Yield Curves and Currency Puzzles,"
Journal of Finance, American Finance Association, vol. 78(1), pages 209-245, February.
- Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
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- Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
- Carvalho, Daniel & Fidora, Michael, 2015.
"Capital inflows and euro area long-term interest rates,"
Journal of International Money and Finance, Elsevier, vol. 54(C), pages 186-204.
- Daniel Carvalho, 2014. "Capital Inflows and euro area long-term interest rates," Working Papers w201410, Banco de Portugal, Economics and Research Department.
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- Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023.
"The information in joint term structures of bond yields,"
Journal of International Money and Finance, Elsevier, vol. 134(C).
- Andrew Meldrum & Marek Raczko & Peter Spencer, 2018. "The information in the joint term structures of bond yields," Bank of England working papers 772, Bank of England.
- Ioannis A. Venetis & Avgoustinos Ladas, 2023.
"Co-movement and global factors in sovereign bond yields,"
Bulletin of Applied Economics, Risk Market Journals, vol. 10(2), pages 17-45.
- Venetis, Ioannis & Ladas, Avgoustinos, 2022. "Co-movement and global factors in sovereign bond yields," MPRA Paper 115801, University Library of Munich, Germany.
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- Andrew Meldrum & Marek Raczko & Peter Spencer, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
- Ana Aguilar & María Diego-Fernández & Rocio Elizondo & Jessica Roldán-Peña, 2022. "Term premium dynamics and its determinants: the Mexican case," BIS Working Papers 993, Bank for International Settlements.
- Aguilar-Argaez Ana María & Diego-Fernández Forseck María & Elizondo Rocío & Roldán-Peña Jessica, 2020. "Term Premium Dynamics and its Determinants: The Mexican Case," Working Papers 2020-18, Banco de México.
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More about this item
Keywords
Term structure models; exchange rates.;JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-04-23 (Central Banking)
- NEP-EEC-2011-04-23 (European Economics)
- NEP-MON-2011-04-23 (Monetary Economics)
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