An Econometric Evaluation of Alternative Models of the Term Structure of Interest Rates PDF Download
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Author: David Evans Vanderford
Publisher:
ISBN:
Category :
Languages : en
Pages : 362
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Author: David Evans Vanderford
Publisher:
ISBN:
Category :
Languages : en
Pages : 362
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Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1455209589
Category : Business & Economics
Languages : en
Pages : 64
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This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author: Douglas R. Bohi
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 386
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Author: John Harold Wood
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Author: Jesper Lund (FIN)
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ISBN:
Category :
Languages : en
Pages : 29
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Author: Basma Bekdache
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ISBN:
Category :
Languages : en
Pages : 41
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Author: Yu-jung Liu
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ISBN:
Category :
Languages : en
Pages : 332
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Author: Shu Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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This paper develops and estimates a continuous-time model of the term structure of interests under regime shifts. The model features an analytically simple representation of Markov regime shifts that helps elucidate the effect of regime shifts on the yield curve and give a clear interpretation of regime-switching risk premiums. The model falls within the broad class of essentially affine models with a closed form solution of the yield curve, yet it is flexible enough to accommodate priced regime-switching risk, time-varying transition probabilities, regime-dependent mean reversion coefficients as well as stochastic volatilities within each regime. A two-factor version of the model is implemented using Efficient Method of Moments. Empirical results show that the model can account for many salient features of the yield curve in the U.S.
Author: Jesper Lund
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Olin Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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