Updating the Long Term Rate in Time: A Possible Approach
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KeywordsLong term rate; Nelson-Siegel; Svensson; Term structure of interest rates; Extrapolation;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- L51 - Industrial Organization - - Regulation and Industrial Policy - - - Economics of Regulation
- M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MAC-2017-02-12 (Macroeconomics)
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