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International Interest-Rate Risk Premia in Affine Term Structure Models

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Table 1: Data for Estimation A 0 (2)-model
Table 2: Maximum Likelihood Parameter Estimates for A 0 (2) USA GER UK φ 1n 0.960 0.070 0.967 0.038 0.998 -0.012 (151.74) (2.97) (50.60) (1.80) (497.0) (-0.92) φ 2n 0 0.874 0 0.920 0 0.903 (-) (31.60) (-) (31.30) (-) (63.31) Σ 1n × 10 2 0.16 0 0.10 0 0.14
Figure 1: Fitted and Observed Yields for Germany
Figure 2: Instantaneous Yield Curve Response for Germany 5 10 15 20 25 30 35 40−100−50050100150b1nb2nb1nrnb2nrnb1ntpb2ntp
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