This page shows all publications that appeared in the IASI annual research reports. Authors currently affiliated with the Institute are always listed with the full name.

You can browse through them using either the links of the following line or those associated with author names.

Show all publications of the year  ALL, with author Figliuoli L., in the category IASI Research Reports (or show them all):

---

IASI Research Report n. 59   


Caravani P., Figliuoli L.

A state approach to the term structure of interest rates.

ABSTRACT

The three models of the term structure, classical, liquidity preference and preferred habitat and the general form of the expectations formation mechanism are studied in the comprehensive format of a state space model. In the assumption of finite horizon, advantages of the state space approach are pointed out with reference to parameter estimation and forecasting. One period current rates are then viewed as policy instruments to control the term structure. A policy based on stochastic optimal control is analyzed. Finally, theoretical implications of the state space approach are discussed with reference to the implicit information market that underlies the term structure.