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INFLATION AND THE MEAN-REVERTING LEVEL OF THE SHORT RATE

โœ Scribed by ANDREAS RESCHREITER


Book ID
111042794
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
194 KB
Volume
78
Category
Article
ISSN
1463-6786

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## Abstract This article presents a twoโ€factor model of the term structure of interest rates. It is assumed that defaultโ€free discount bond prices are determined by the time to maturity and two factors, the longโ€term interest rate, and the spread (i.e., the difference) between the shortโ€term (insta