---
title: A New Approach to Estimating Portfolio-Balance Models of the Yield Curve
url: https://www.ml-quant.com/papers/repec/bca-bocawp-26-33/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-02
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:bca:bocawp:26-33
source_url: https://econpapers.repec.org/RePEc:bca:bocawp:26-33
featured: 2026-10-02
citations: unknown
topic: Macro-Finance & Rates
---


# A New Approach to Estimating Portfolio-Balance Models of the Yield Curve

Proposes a two-step estimator to recover portfolio-balance model parameters from Gaussian term structure models, identifying shocks to hedging risk premiums and risk-bearing capacity.

- Source: https://econpapers.repec.org/RePEc:bca:bocawp:26-33
- Identifier: RePEc:bca:bocawp:26-33
- Released: 2026-09-28
- First featured: Quant Letter No. 133 (2026-10-02): https://www.ml-quant.com/issues/2026-10-02/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Macro-Finance & Rates
- Authors: Antonio Diez de los Rios

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