A two-factor model of the U.K. yield curve

Steeley, James M. A two-factor model of the U.K. yield curve. Manchester School, 65 (S), pp. 32-58.

Abstract

I model the forward premium in the U.K. gilt-edged market over the period 1982–96 using a two-factor general equilibrium model of the term structure of interest rates. The model permits the decomposition of the forward premium into separate components representing interest rate expectations, the risk premia associated with each of the underlying factors, and terms capturing the direct impact of the variances of the factors on the shape of the forward curve.

Publication DOI: https://doi.org/10.1111/1467-9957.65.s.2
Divisions: Aston Business School > Accounting
Aston Business School > Accounting Research Group
Uncontrolled Keywords: I model,gilt-edged market,two-factor general equilibrium model,term structure,interest rates

Download

Full text not available from this repository.

Export / Share Citation


Statistics

Additional statistics for this record