A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
收藏NBER2001-07-01 更新2025-01-04 收录
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https://www.nber.org/papers/w8363
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资源简介：
This paper describes the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a term structure model with inflation and economic growth factors, we investigate how macro variables affect bond
提供机构：
美国国家经济研究局
创建时间：
2001-07-01
