IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

An Affine Factor Model of the Greek Term Structure

  • Hiona Balfoussia

    ()

    (Bank of Greece)

This paper aims to contribute to our understanding of the dynamics driving the Greek term structure of nominal interest rates and to explore their possible macro- economic determinants. A canonical, Vasicek-type latent affine factor model of the Greek term structure is estimated on data spanning the period March 1999 to February 2007. This framework allows us to directly examine the impact of the extracted factors on the shape of the yield curve over time and on the associated price and amount of risk in the term structure. In line with the related literature, three latent factors, i.e. a "level" factor, a "slope" factor and a "curvature" factor, appear to capture most of the time variation in the Greek nominal term structure of interest rates and to drive its dynamics. The evolution of these factors over time is examined on the basis of business cycle theory and related to macroeconomic fundamentals of the Greek economy.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper200872.pdf
File Function: Full Text
Download Restriction: no

Paper provided by Bank of Greece in its series Working Papers with number 72.

as
in new window

Length: 34 pages
Date of creation: May 2008
Date of revision:
Handle: RePEc:bog:wpaper:72
Contact details of provider: Web page: http://www.bankofgreece.gr

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bog:wpaper:72. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christina Tsochatzi)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.