Date of this Version

July 1995

Document Type

Discussion Paper

Publication Details

A. R. Pagan, A. D. Hall and V. Martin (1995) Modeling the Term Structure

School of Business Discussion Paper ; No. 60, Jul. 1995

© Copyright A. R. Pagan, A. D. Hall, V. Martin and the School of Business, Bond University

Abstract

Extract:

Models of the term structure of interest rates have assumed increasing importance in recent years in line with the need to value interest rate derivative assets. Economists and econometricians have long held an interest in the subject, as an understanding of the determinants of the the term structure has always been viewed as crucial to an understanding of the impact of monetary policy and its transmission mechanism.