Thursday, March 13, 2014

Interest rates in the UK

A quick one; here are the model results for the UK short (3-month) and long (10-year) interest rates (based on this version of the information transfer model using the same fit parameters for the short and long rate, with the long rate model fit as an upper bound):

 

The light blue line includes central bank reserves, while the dark blue line is the currency component (notes and coins).
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Also, try to avoid the use of dollar signs as they interfere with my setup of mathjax. I left it set up that way because I think this is funny for an economics blog. You can use € or £ instead.

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