Factors of the Term Structure of Sovereign Yield Spreads
Journal of International Money and Finance(2018)
摘要
•We investigate the term structure of sovereign yield spreads for advanced economies.•The spread term structure dynamics are driven by three latent spread factors.•The first two latent spread factors have predictive power for exchange rates.•The factors yield additional explanatory power compared to the UIRP approach.•Using the information content of spread curves is a promising approach for FX models.
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关键词
G15,E43,E44,F37,C58
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