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A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
Ang, A., & Piazzesi, M. (2003). Journal of Monetary Economics
doi:10.1016/s0304-3932(03)00032-1
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Note: We describe the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a term structure model with inflation and economic growth factors, together with latent variables, we investigate how....