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US and EA yield curve persistence during the COVID-19 pandemic()
This paper investigates changes in persistence caused by the COVID-19 pandemic in the US and EA yield curves. We extract the long-term, short-term and medium-term factors and proxy the persistence by estimating the autoregressive coefficient of each factor. To examine the time-varying effects, we em...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Published by Elsevier Inc.
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9015820/ https://www.ncbi.nlm.nih.gov/pubmed/35463216 http://dx.doi.org/10.1016/j.frl.2021.102087 |