| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089620 | Journal of Banking & Finance | 2012 | 13 Pages |
Abstract
⺠We estimated a fractional integrated model for the short-term interest rate. ⺠We endogenously determine the term premium on 10 year bond. ⺠The term premium greatly increased during the recent credit crisis. ⺠The term premium and unemployment display a significant positive co-movement.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Luis A. Gil-Alana, Antonio Moreno,