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Suppose we observe the following rates: 1R1 = 6.5%, 1R2 = 7.1%, and E(2r1) = 6.5%. If the liquidity premium theory of the term structure
Suppose we observe the following rates: 1R1 = 6.5%, 1R2 = 7.1%, and E(2r1) = 6.5%. If the liquidity premium theory of the term structure of interest rates holds, what is the liquidity premium for year 2?
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The Handbook Of Pairs Trading
Authors: Douglas S. Ehrman
1st Edition
0471727075, 9780471727071
