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Reaction of Swiss term premia to monetary policy surprises

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Figure

Table 1 shows the correlations between the 5-day change of the 3-month yield and other variables
Figure 2: Implied Volatilities of Rate Interest Caps, Cap Rates of 0.5% to 5.5%
Figure 3: Bond Market Risk Estimated from 1- and 5-Year Interest Rate Caps
Figure 4: Properties of the Estimated Yield Curve Model
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