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Kim, Dong Heon - Econometric Society - 2004

This paper uses the flexible approach of Hamilton (2001) to investigate the nature of nonlinearities in the term structure. The paper reports clear evidence of nonlinearity, in contrast to the affine term structure model and consistent with recent claims in the literature. We find that there is...

Persistent link: https://www.econbiz.de/10005342379

Estimation of the Volatility Structure of the Fixed Income Market

To, Thuy Duong; Chiarella, Carl - Econometric Society - 2004

This paper considers the dynamics for interest rate processes within the Heath, Jarrow and Morton (1992) specification. It is well known that one of the difficulties in using this specification for estimation is the non-Markovian nature of the dynamics. The paper focuses on a fairly broad family...

Persistent link: https://www.econbiz.de/10005130170

Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model

Ichiue, Hibiki - Econometric Society - 2004

The literature gives evidence that term spreads help predict output growth, inflation, and interest rates. This paper integrates and explains these predictability results by using an affine term structure model with observable macroeconomic factors. The results suggest that consumers are willing...

Persistent link: https://www.econbiz.de/10005130246

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature

Lund, Jesper; Andersen, Torben G.; Benzoni, Luca - Econometric Society - 2004

We introduce continuous-time models that capture the salient features of the short-term interest rate and remain tractable for asset pricing applications. We extend classical specifications within and outside of the affine class to multi-factor settings with latent variables that are readily...

Persistent link: https://www.econbiz.de/10005063579

Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates

Tillmann, Peter - Econometric Society - 2004

To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model. We argue that the short-run dynamics of the...

Persistent link: https://www.econbiz.de/10005063728

Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model

Vahid, Farshid; Luo, Lin - Econometric Society - 2004

Yield spread between long and short bonds has been used to forecast economic activity for a long time and has yielded some positive results, particularly for the U.S. data. Recently it has been shown that the forecast can be improved by incorporating the economic activity variable into a term...

Persistent link: https://www.econbiz.de/10005702522

Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity

Kao, Chihwa; Hong, Yongmiao - Econometric Society - 2004

A new class of specification tests is proposed to detect for neglected nonlinearity and dynamic misspecification in panel models. The tests can detect a wide range of model misspecifications while being robust to conditional heteroskedasticity and higher order time-varying moments of unknown...

Persistent link: https://www.econbiz.de/10005342292

Foreign Exchange exposure, corporate financial policies and the exchange rate regime: Evidence from Brazil

Junior, Jose Luiz Rossi - Econometric Society - 2004

/or reducing their hedging activities. According to this hypothesis, floating regimes would help to reduce countriesâ … hedging activities are able to mitigate the negative exposure that comes from the impact of the fluctuations of the exchange … also hedge a larger proportion of their foreign currency denominated debt. Following the optimal hedging literature, I find …

Persistent link: https://www.econbiz.de/10005699641

Exchange Rate Fluctuations, Financing Constraints, Hedging, and Exports: Evidence from Firm Level Data

Ryoo, Heajin; Dekle, Robert - Econometric Society - 2004

balance sheets of aggregate shocks through hedging activities. Thus, we observe a positive relationship between a currency …

Persistent link: https://www.econbiz.de/10005699665