Term structures and firm dynamics: a FAVAR approach

DOI10.1016/J.ECONLET.2024.111962MaRDI QIDQ6665042zbMATH OpenFDO

Authors Li Su, Jingjing Zhu

Publication date 16 January 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.111962

zbMATH Keywords

FAVAR modelfirm dynamicsterm structures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A search-theoretic model of the term premium
• High-Frequency Identification of Monetary Non-Neutrality: The Information Effect*
• Macroeconomic environment, money demand and portfolio choice
• Monetary policy regimes and the term structure of interest rates
• The Impact of Uncertainty Shocks

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