Short-term interest rate estimation by filtering in a model linking inflation, the central bank and short-term interest rates

HIGHLIGHTS

• who: Flavia Antonacci and colleagues from the ArxivDepartment of Economic Studies, University of Chieti-Pescara, Pescara, Italy have published the research work: Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates, in the Journal: Mathematics 2021, 9, 1152. of 30/03/2007
• what: By using ZCB yields as observations the authors implement the Kalman filter and obtain a dynamical estimate of the rate. The authors compare the market values of German rate yields for several maturities with the corresponding values predicted by the model . . .
  

   

  

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