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Showing 1 to 1 of 1 for “"Nelson-Seigel model"”.
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Essays on Macro-Finance Relationships
… an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy, volatility, and the price of risk. Our results for U.S. data from 1985-2008 indicate that: i) the Fed's reaction to inflation has changed over time, switching between "more active" and "less …