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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-298256
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.29825
Alternative Links zum Volltext:Repec
Zusammenfassung
This paper deals with simultaneous interactions between the determinants of the US yield curve. For this purpose, we derive a multivariate unobserved components model based on the expectation hypothesis. The influencing factors of the term structure that arise from the structural model are a common stochastic trend, the cyclical part of the short rate and maturity-dependent term premiums in the ...
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