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Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities
This paper analyses the impact of a newspaper-based uncertainty associated with infectious diseases (EMVID) on the level, slope and curvature factors derived from the term structure of interest rates of the US covering maturities from 1 year to 30 years. Results from nonlinearity and structural brea...
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| Vydáno v: | International Review of Economics & Finance |
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| Hlavní autoři: | , , , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Elsevier Inc.
2021
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| Témata: | |
| On-line přístup: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7507984/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.iref.2020.09.019 |
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