A principal components analysis of market interest rates in The Netherlands, 1962–1970
A principal components analysis of market interest rates in The Netherlands, 1962–1970
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1962-1970 年荷兰市场利率的主成分分析
DOI：
10.1016/0014-2921(73)90001-9
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发表时间：
1973
影响因子：
2.8
通讯作者：
M. Fase
中科院分区：
文献类型：
--
作者：
M. Fase
本文报告了20个荷兰市场利率的主成分分析。我们发现，在货币市场上，96%的总变化是由第一个主成分和2%的第二个解释。在资本市场上，这两个百分比分别为90%和8%。主要结论如下：（1）第一部分确定真实利率，而第二和第三部分与风险和通货膨胀率有关。(2)教科书上对货币市场和资本市场的区分并没有出现。(3)在宏观模型中使用的许多利率只有有限的经济意义。
This paper reports about a principal components analysis of 20 Dutch market interest rates. We found that on the money market 96% of total variation is explained by the first principal component and 2% by the second one. On the capital market these percentages are 90 and 8. The main conclusions are: (1) the first component identifies the true interest rate, while the second and third component are related to risk and the rate of inflation. (2) The textbook distinction between money and capital markets does not show up. (3) The use of many interest rates in macro models has only a limited economic meaning.