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이자율 기간구조를 이용한 정책금리 변경의 효과 분석

Analyzing the Effect of Changes in the Benchmark Policy Interest Rate Using a Term Structure Model

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Abstract

This paper estimates the term structure of interest rates with the setup of 3-factor no arbitrage model and investigates the trend of term premia and the effectiveness of changes in policy interest rates. The term premia are found to be high in a three-ye

Issue Date
2009-12-31
Publisher
한국개발연구원
Korea Development Institute
Language
ko
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