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Paper / 2019SMQ / 35888849151697
Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities
Aaron N. Mehrotra / Chang Shu / Richhild Moessner
interest ratesResource overview

Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities

Paper2019

by Aaron N. Mehrotra, Chang Shu, Richhild Moessner

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interest rates

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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