Ontology highlight
ABSTRACT:
SUBMITTER: Papailias F
PROVIDER: S-EPMC9015820 | biostudies-literature | 2022 Jan
REPOSITORIES: biostudies-literature
Finance research letters 20210427
This paper investigates changes in persistence caused by the COVID-19 pandemic in the US and EA yield curves. We extract the long-term, short-term and medium-term factors and proxy the persistence by estimating the autoregressive coefficient of each factor. To examine the time-varying effects, we employ a local linear estimation. Our findings suggest that, during the first phases of the pandemic, the US long-term and short-term factors exhibited explosive behaviour while, at the same time, the E ...[more]