Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/197840 
Year of Publication: 
2017
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2017-33
Publisher: 
Bank of Canada, Ottawa
Abstract: 
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large - a situation in which other recently proposed approaches lose their tractability. We illustrate our estimator within the context of a seven-country, 10-factor term structure model.
Subjects: 
Asset pricing
Econometric and statistical methods
Exchange rates
Interest rates
JEL: 
E43
F31
G12
G15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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