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Term Structure of Interest Rates

Research Project
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01.01.2004
 - 31.12.2030

Interest rates are relevant for almost all investment decisions in an economy. Because of this, interest rates are also the preferred channel through which monetary policy affects the business cycle. Because interest rates of different maturities are affected by many decision makers, these data contains a wealth of useful information about the underlying economy and the shocks it experiences. The aim of this project is to understand the term structure of interest rates and its dynamics, and to extract and interpret the information it contains.

Publications

Lengwiler, Yvan and Lenz, Carlos (2010) ‘Intelligible factors for the yield curve’, Journal of Econometrics, 157(2), pp. 481–491. Available at: https://doi.org/10.1016/j.jeconom.2010.04.001.

URLs
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Lengwiler, Y (2005) ‘Heterogeneous patience and the term structure of real interest rates’, American economic review, 95(3), pp. 890–896. Available at: https://doi.org/10.1257/0002828054201288.

URLs
URLs

Lengwiler, Yvan (2004) Microfoundations of financial economics : an introduction to general equilibrium asset pricing, Princeton series in finance. Princeton, N.J.: Princeton University Press (Princeton series in finance). Available at: http://press.princeton.edu/titles/7724.html.

URLs
URLs

Members (1)

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Yvan Lengwiler

Principal Investigator