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State-space estimation of multi-factor models of the term structure : application to Government of Jamaica bonds

By: Material type: TextTextPublication details: [Caribbean Centre for Money & Finance] [St. Augustine]TT 2006Description: 31 pAction note:
  • 11/27/08 JOYD
Summary: Estimates two famous equilibrium models of the term structure of interest rates using zero-coupon Government of Jamaica sovereign bonds for the period 24 September 2004 to 28 July 2006. Seeks to explain the yield curve dynamics in Jamaica in order to derive information on investor expectation to support monetary and fiscal policy objectives as well as to accurately price bonds and hedging instruments.
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Item type Current library Call number Status Barcode
Monograph CARICOM Documentation Centre 11.02.01 M742la(2006) (Browse shelf(Opens below)) Available 0000000027494

Estimates two famous equilibrium models of the term structure of interest rates using zero-coupon Government of Jamaica sovereign bonds for the period 24 September 2004 to 28 July 2006. Seeks to explain the yield curve dynamics in Jamaica in order to derive information on investor expectation to support monetary and fiscal policy objectives as well as to accurately price bonds and hedging instruments.

11/27/08 JOYD

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