Modeling the Term Structure of Interest Rates Across Countries

Download or read book Modeling the Term Structure of Interest Rates Across Countries written by Stan Maes and published by LAP Lambert Academic Publishing. This book was released on 2010-06 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of the stochastic behaviour of yields is important for the conduct of monetary policy, the financing of public debt, the expectations of real economic activity and inflation, the risk management of a portfolio of securities, and the valuation of interest rate derivatives. It is, therefore, not surprising that the study of yield curve dynamics is occupying such a prominent and unique place in theoretical and empirical macroeconomics and finance.