Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152582
Authors: 
Brousseau, Vincent
Year of Publication: 
2002
Series/Report no.: 
ECB Working Paper 148
Abstract: 
Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible interpretations of this phenomenon.
JEL: 
G10
G12
G13
Document Type: 
Working Paper

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