Yield Curve Dynamics and Spillovers in Central and Eastern European Countries

Yield Curve Dynamics and Spillovers in Central and Eastern European Countries
This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between... READ MORE...

Publication date: February 2010
ISBN 9781451963328
$18.00

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