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Titel:Modelling the Yield Curve
Von: Taylor, Mark P
Person: Taylor, Mark P.
Verfasser
aut
Hauptverfasser: Taylor, Mark P. (VerfasserIn)
Format: Elektronisch E-Book
Sprache:Englisch
Veröffentlicht: Washington, D.C International Monetary Fund 1991
Schriftenreihe:IMF Working Papers Working Paper No. 91/134
Online-Zugang:http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
http://elibrary.imf.org/view/IMF001/04650-9781451931457/04650-9781451931457/04650-9781451931457.xml
Abstract:We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium
Beschreibung:1 Online-Ressource (38 p)
ISBN:145193145X
9781451931457

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