Economics, Econometrics and Finance
a year ago

New method predicts market trends more accurately, revolutionizing financial analysis.

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The Review of Asset Pricing Studies
Unconventional Monetary Policies and the Yield Curve: Estimating Non-Affine Term Structure Models with Unspanned Macro Risk by Factor Extraction
Adam Goliński, Peter Spencer

Paper Summary

Researchers developed a new method to estimate interest rate models that consider the lower bound without using approximations. This method improves accuracy, reduces computation time, and allows for a more thorough analysis of policy effects on term premiums and market expectations.

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