Series: IMF Working Papers
Author(s): Calixte Ahokpossi , Pilar Garcia Martinez , and Laurent Kemoe
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 23 May 2016
We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve in Morocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, we explore the interaction between macr...