Predictive power of the term structure of interest rates over recessions in Europe
This work intends to infer for European countries the extent that anticipations of the term structure of interest rates has over recessions, as measured by factor models. For that, we model the shape of the yield curve by latent factors corresponding to its level, slope and curvature. The simple and...
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| Outros Autores: | , , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/11328/1838 |
| País: | Portugal |
| Oai: | oai:repositorio.uportu.pt:11328/1838 |