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- W1517535179 abstract "An affine yield curve model is estimated on daily Swiss data 2002-2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities." @default.
- W1517535179 created "2016-06-24" @default.
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- W1517535179 date "2009-01-01" @default.
- W1517535179 modified "2023-09-25" @default.
- W1517535179 title "Reaction of Swiss Term Premia to Monetary Policy Surprises" @default.
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- W1517535179 doi "https://doi.org/10.2139/ssrn.1524254" @default.
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