| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2108 |
| DP2108 Regional Aspects of Unemployment in Europe and in Italy | |
| Fiorella Kostoris Padoa Schioppa | |
| 发表日期 | 1999-03-29 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | In this paper we provide an empirical analysis of the term structure of interest rates using the affine class of term structure models introduced by Duffie and Kan. We estimate these models by combining time-series and cross-section information in a theoretically consistent way. In the estimation we use an exact discretization of the continuous time factor process and allow for a general measurement error structure. We provide evidence that a three factor affine model with correlated factors is able to provide an adequate fit of the cross section and the dynamics of the term structure. The three factors can be given the usual interpretation of level, steepness and curvature. The shocks to these factors are significantly correlated. |
| 主题 | Financial Economics |
| 关键词 | Kalman filter Panel data Term structure |
| URL | https://cepr.org/publications/dp2108 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531222 |
| 推荐引用方式 GB/T 7714 | Fiorella Kostoris Padoa Schioppa. DP2108 Regional Aspects of Unemployment in Europe and in Italy. 1999. |
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