In the Svensson (1994) model of the term structure of interest rates Ot 2t r(t)= Bor+B₁ (1-e¯²)/λ₁t+ ß₂, (((1-e¯)/λ,t)-e-d₁²) +B3, (((1-e¹¹)/2₂,²)-e-¹₂,²) 3t Where rt (T) is the interest rate at time t of maturity 7 Bot, B1, B2t and B3t are estimated parameters At and A2t are decay parameters. Explain what each of the four terms in the model are meant to measure.

In the Svensson (1994) model of the term structure of interest rates Ot 2t r(t)= Bor+B₁ (1-e¯²)/λ₁t+ ß₂, (((1-e¯)/λ,t)-e-d₁²) +B3, (((1-e¹¹)/2₂,²)-e-¹₂,²) 3t Where rt (T) is the interest rate at time t of maturity 7 Bot, B1, B2t and B3t are estimated parameters At and A2t are decay parameters. Explain what each of the four terms in the model are meant to measure.

Survey of Accounting (Accounting I)

8th Edition

ISBN:9781305961883

Author:Carl Warren

Publisher:Carl Warren

Chapter9: Metric-analysis Of Financial Statements

Section: Chapter Questions

Problem 3SEQ

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