- Discussion Paper 110
- Publication date
- 20 September 2019
- Eric McCoy | Directorate-General for Economic and Financial Affairs
This paper presents the results obtained from calibrating a Gaussian affine term structure (GATSM) based term premia model to the euro area.
Information and identifiers
Discussion Paper 110. September 2019. Brussels. PDF. 40pp. Tab. Graph. Bibliogr. Free.
ISBN 978-92-79-77447-8 (online)
ISSN 2443-8022 (online)
JEL Classification: E43, E44, E52, E58.
European Economy Discussion Papers are written by the staff of the European Commission’s Directorate-General for Economic and Financial Affairs, or by experts working in association with them, to inform discussion on economic policy and to stimulate debate. The views expressed in this document are solely those of the author(s) and do not necessarily represent the official views of the European Commission.