Analyzing the Effect of Changes in the Benchmark Policy Interest Rate Using a Term Structure Model
This paper estimates the term structure of interest rates with the setup of 3-factor no arbitrage model and investigates the trend of term premia and the effectiveness of changes in policy interest rates. The term premia are found to be high in a three-year medium term objective, which can be interp...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Korea Development Institute
2009-12-01
|
| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2009.31.2.15 |