Term Premium and Quantitative Easing in a Fractionally Cointegrated Yield Curve
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KeywordsU.S. yield curve; stochastic trend; fractional cointegration; term premium; quantitative easing;
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
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