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- W2077284100 abstract "This paper reports about a principal components analysis of 20 Dutch market interest rates. We found that on the money market 96% of total variation is explained by the first principal component and 2% by the second one. On the capital market these percentages are 90 and 8. The main conclusions are: (1) the first component identifies the true interest rate, while the second and third component are related to risk and the rate of inflation. (2) The textbook distinction between money and capital markets does not show up. (3) The use of many interest rates in macro models has only a limited economic meaning." @default.
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- W2077284100 date "1973-06-01" @default.
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- W2077284100 title "A principal components analysis of market interest rates in The Netherlands, 1962–1970" @default.
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- W2077284100 doi "https://doi.org/10.1016/0014-2921(73)90001-9" @default.
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