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: | workingPaper |
| Language: | eng |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/10400.5/2861 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/2861 |