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Economy and Finance

A Calibration of the Term Premia to the Euro Area

Details

Identification
Discussion Paper 110
Publication date
20 September 2019
Author
Directorate-General for Economic and Financial Affairs

Description

A Calibration of the Term Premia to the Euro Area

Description

This paper presents the results obtained from calibrating a Gaussian affine term structure (GATSM) based term premia model to the euro area.

Author(s)

Eric McCoy

Information and identifiers

Discussion Paper 110. September 2019. Brussels. PDF. 40pp. Tab. Graph. Bibliogr. Free.

KC-BD-18-037-EN-N (online)
ISBN 978-92-79-77447-8 (online)
ISSN 2443-8022 (online)
doi:10.2765/33831 (online)

JEL Classification: E43, E44, E52, E58.

Disclaimer

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.

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A Calibration of the Term Premia to the Euro Area
English
(2.08 MB - PDF)
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