Level, Slope, Curvature of Sovereign Yield Curve and Fiscal Behaviour
We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The latent factors, level, slope and curvature, obtained with the Kalman filter, are used in a VAR with macro and fiscal variables, controlling for financial stress conditions. In the U.S.,...
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| Format: | other |
| Language: | eng |
| Published: |
2010
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| Online Access: | https://repositorio-aberto.up.pt/handle/10216/71393 |
| Country: | Portugal |
| Oai: | oai:repositorio-aberto.up.pt:10216/71393 |