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Persistent link: https://www.econbiz.de/10005345650
This paper examines a recent shift in the dynamics of the term structure and interest rate risk. We first use standard yield-spread regressions to document such a shift in the U.S. in the mid-1980s. Over the pre- and post-shift subsamples, we then estimate dynamic, affine, no-arbitrage models,...
Persistent link: https://www.econbiz.de/10005537499