Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates /
Fendel, Ralf
Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates / Ralf Fendel. - Frankfurt am Main : Deutsche Bundesbank, 2004 - 51 p. - Discussion papers. Series 1: Studies of the Economic Research Centre ; no. 24/2004 . - Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 24/2004 .
Bibliografía: p. 36-38.
1. Introduction -- 2. An arbitrage-free perspective of the term structure of interest rates -- 3. A general affine term structure model in discrete time -- 4. A Gaussian model for the german term structure od interest rates -- 5. The monetary policy view of the short rate dynamics -- 6. Estimation procedure and results -- 7. Conclusions -- References -- Appendix 1: recursive restrictions -- 2. derivation of the term premia -- 3. the Kalman filter.
3865580114
POLITICA MONETARIA--1979-1998
MODELOS ECONOMETRICOS
TIPO DE INTERES
ALEMANIA
332.1120943
Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates / Ralf Fendel. - Frankfurt am Main : Deutsche Bundesbank, 2004 - 51 p. - Discussion papers. Series 1: Studies of the Economic Research Centre ; no. 24/2004 . - Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 24/2004 .
Bibliografía: p. 36-38.
1. Introduction -- 2. An arbitrage-free perspective of the term structure of interest rates -- 3. A general affine term structure model in discrete time -- 4. A Gaussian model for the german term structure od interest rates -- 5. The monetary policy view of the short rate dynamics -- 6. Estimation procedure and results -- 7. Conclusions -- References -- Appendix 1: recursive restrictions -- 2. derivation of the term premia -- 3. the Kalman filter.
3865580114
POLITICA MONETARIA--1979-1998
MODELOS ECONOMETRICOS
TIPO DE INTERES
ALEMANIA
332.1120943