Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates /

Bibliographic Details
Main Author: Fendel, Ralf
Format: Book
Language:English
Published: Frankfurt am Main : Deutsche Bundesbank, 2004
Series:Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 24/2004
Subjects:
Online Access:http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2004/2004_09_07_dkp_24.pdf?__blob=publicationFile

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245 1 0 |a Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates /  |c Ralf Fendel. 
260 |a Frankfurt am Main :  |b Deutsche Bundesbank,  |c 2004 
300 |a 51 p. 
490 1 |a Discussion papers. Series 1: Studies of the Economic Research Centre ;  |v no. 24/2004 
504 |a Bibliografía: p. 36-38. 
505 0 |a 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. 
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830 0 |9 4790  |a Discussion paper (Deutsche Bundesbank)  |p Series 1: Studies of the Economic Research Centre   |v no. 24/2004 
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