Series: IMF Working Papers
Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 05 November 2013
Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...