Estimating and Interpreting the Yield Curve
Estimating and Interpreting the Yield Curve presents a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. With thorough analysis of estimation techniques and a survey of yield curve interpretation, it also provides important insight into the latest thinking on these techniques at the Bank of England.
Table of Contents
- The Term Structure of Interest Rates
- Estimating Yield Curves
- Comparing Yield Curve Models
- Equilibrium Term Structure Models
- The Effects of Taxation
- Bonds with Embedded Options
- Index-Linked Debt
- Term Premia and the Implied Forward Rate Curve
- Empirical Evidence on the Expectations Theory of the Yield Curve
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Index