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150128 ||| eng |
| 020 |
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|a 9781475513516
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| 100 |
1 |
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|a Abbritti, Mirko
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| 245 |
0 |
0 |
|a Global Factors in the Term Structure of Interest Rates
|c Mirko Abbritti, Salvatore Dell'Erba, Antonio Moreno, Sergio Sola
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2013
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| 300 |
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|a 41 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Dynamic Treatment Effect Models
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| 653 |
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|a Finance
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| 653 |
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|a Money and Monetary Policy
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| 653 |
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|a Yield curve
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| 653 |
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|a Interest Rates: Determination, Term Structure, and Effects
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| 653 |
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|a State Space Models
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| 653 |
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|a Prices
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| 653 |
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|a Financial services
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| 653 |
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|a Monetary Policy
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| 653 |
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|a Monetary economics
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| 653 |
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|a Diffusion Processes
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| 653 |
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|a Financial Risk Management
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| 653 |
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|a Macroeconomics
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| 653 |
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|a Interest rates
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Time-Series Models
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| 653 |
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|a Monetary expansion
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| 653 |
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|a Global Financial Crisis, 2008-2009
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| 653 |
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|a Inflation
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| 653 |
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|a Monetary policy
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| 653 |
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|a Economic & financial crises & disasters
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| 653 |
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|a Price Level
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| 653 |
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|a Deflation
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| 653 |
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|a Financial crises
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| 653 |
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|a Dynamic Quantile Regressions
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| 653 |
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|a Open Economy Macroeconomics
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| 653 |
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|a Global financial crisis of 2008-2009
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| 653 |
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|a Financial Crises
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| 700 |
1 |
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|a Dell'Erba, Salvatore
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| 700 |
1 |
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|a Moreno, Antonio
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| 700 |
1 |
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|a Sola, Sergio
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
0 |
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|a IMF Working Papers
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| 028 |
5 |
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|a 10.5089/9781475513516.001
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| 856 |
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|u https://elibrary.imf.org/view/journals/001/2013/223/001.2013.issue-223-en.xml?cid=41030-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
0 |
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|a 330
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| 520 |
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|a This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis
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