A Simple Model of the Nominal Term Structure of Interest Rates PDF Download
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Author: Youngsoo Choi
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Youngsoo Choi
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Youngsoo Choi
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
This paper proposes a simple two-factor model of nominal term structure of interest rates, in which the log-price kernel has an autoregressive drift process and a nonlinear GARCH volatility process. Given these two state-variable processes, closed-form expressions are derived for the zero-coupon bond prices and the yield to maturity for a given time to maturity.
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Emerson Rildo Araújo de Carvalho
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper develops a simple dynamic theory of the term structure of nominal interest rate in the context of overlapping generations model (OLG). The main results are as follows: the short and long term interest rates are positively correlated and the yield curve may be either positively or negatively sloped depending on relative supply of bonds of different maturities. Beyond this, we have obtained a simple closed form solution which depend on observable policy variables and can be tested.
Author: David Meiselman
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96
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Book Description
Author: R. S. Masera
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
Author: Tom Arnold
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
Without much technical expertise, a yield curve model is presented that is very dynamic and can be easily programmed in Excel for classroom presentation or for assignments. By using the output of the model to have students find embedded rates within the yield curve, a discussion of how bond traders speculate on interest rates emerges very easily. Further, the model output can also be used for numerous exercises including the pricing of strips or for evaluating the positions of an entire bond portfolio. Within the exercises, the dynamic nature of the model can be exploited to provide sensitivity analysis.
Author: Frank Browne
Publisher: [Paris, France] : OECD, Department of Economics and Statistics
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 40
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Book Description
Author: Wei Shi
Publisher:
ISBN:
Category :
Languages : en
Pages : 198
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Book Description
Author: Jessica A. Wachter
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Book Description
This paper proposes a consumption-based model that can account for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated data on consumption, inflation, and the average level of bond yields, the model produces realistic volatility of bond yields and can explain key aspects of the expectations puzzle documented by Campbell and Shiller (1991) and Fama and Bliss (1987). When Actual consumption and inflation data are fed into the model, the model is shown to account for many of the short and long-run fluctuations in the short-term interest rate and the yield spread. At the same time, the model captures the high equity premium and excess stock market volatility.
