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Author: Hiona Balfoussia
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper aims to contribute to our understanding of the dynamics driving the Greek term structure of nominal interest rates and to explore their possible macroeconomic determinants. A canonical, Vasicek-type latent a¢ ne factor model of the Greek term structure is estimated on data spanning the period March 1999 to February 2007. This framework allows us to directly examine the impact of the extracted factors on the shape of the yield curve over time and on the associated price and amount of risk in the term structure. In line with the related literature, three latent factors, i.e. a "level" factor, a "slope" factor and a "curvature" factor, appear to capture most of the time variation in the Greek nominal term structure of interest rates and to drive its dynamics. The evolution of these factors over time is examined on the basis of business cycle theory and related to macroeconomic fundamentals of the Greek economy.
Author: Hiona Balfoussia
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper aims to contribute to our understanding of the dynamics driving the Greek term structure of nominal interest rates and to explore their possible macroeconomic determinants. A canonical, Vasicek-type latent a¢ ne factor model of the Greek term structure is estimated on data spanning the period March 1999 to February 2007. This framework allows us to directly examine the impact of the extracted factors on the shape of the yield curve over time and on the associated price and amount of risk in the term structure. In line with the related literature, three latent factors, i.e. a "level" factor, a "slope" factor and a "curvature" factor, appear to capture most of the time variation in the Greek nominal term structure of interest rates and to drive its dynamics. The evolution of these factors over time is examined on the basis of business cycle theory and related to macroeconomic fundamentals of the Greek economy.
Author: Jan De Kort
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
We show that, as a consequence of the Dybvig-Ingersoll-Ross theorem, the existence of a non-deterministic long rate in a factor model of the term structure implies that the model has an equivalent representation in which one of the state variables is nondecreasing. Moreover, for two-dimensional factor models, we prove that if the long rate is non-deterministic, the yield curve flattens out and the factor process is asymptotically non-deterministic, then the term structure is unbounded. Finally, following up on an open question in El Karoui et al. (1997), we provide an explicit example of a three-dimensional affine factor model with a non-deterministic yet finite long rate in which volatility of the factor process does not vanish over time.
Author: Arianto Wibowo
Publisher:
ISBN: 9789036524421
Category :
Languages : en
Pages : 79
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Book Description
Author: Mr.Richard Munclinger
Publisher: International Monetary Fund
ISBN: 1455211931
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high volatility regime and a low level and low volatility regime. Both regimes are persistent and are explained by the level and the slope of the term structure. The model is estimated using a Bayesian MCM algorithm that produces consistent standard errors and a reliable method for testing the differences between the model parameters.
Author: Razvan Sufana
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Dai and Singleton (2000) introduced a typology of affine diffusion models when the domain of admissible values of the factors is an intersection of half planes and under some additional constraints on the parameters. This condition on the domain and the additional sufficient constraints are restrictive and can considerably diminish the practical interest of affine models. In this article we successfully address the research agenda sketched by Duffie, Filipovic, Schachermayer (2003, section 12.2, p. 1042). A systematic investigation is performed and our article provides a complete typology in the two-factor case, without prior restrictions on the domain and on the parameters.
Author: Jagjit S. Chadha
Publisher: Cambridge University Press
ISBN: 1107044553
Category : Business & Economics
Languages : en
Pages : 571
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Book Description
State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.
Author: Andrei B. Pokrovsky
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
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Author: Erik Schlögl
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
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Author: Riccardo Rebonato
Publisher:
ISBN: 1107165857
Category : Business & Economics
Languages : en
Pages : 781
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Book Description
Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
Author:
Publisher:
ISBN:
Category : Finance, Public
Languages : en
Pages : 256
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