TITLE

G-ADTSMs and the role of surveys

PUB. DATE
August 2012
SOURCE
Bank of England Quarterly Bulletin;2012 3rd Quarter, Vol. 52 Issue 3, p217
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The article discusses the Gaussian affine dynamic term structure models (C-ADTSMs) and the role of bank surveys. It mentions that G-ADTSMs are agnostic about the underlying drivers of movements in interest rates. It suggests that survey forecasts can help avoid instability in ADTSM estimates. It also informs that in the dynamic stochastic general equilibrium (DSGE) models production and other constraints will be imposed.
ACCESSION #
82152842

 

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