Showing 1 - 10 of 15
We evaluate the statistical and economic differences between affine term-structure models. Despite the voluminous literature on this subject, we have a limited understanding of those structural features of the models that are important in practice. Given that the key distinguishing...
Persistent link: https://www.econbiz.de/10009439454
Unspanned stochastic volatility (USV) refers to the inability of bonds to replicate volatility-sensitive derivative securities. Affine term structure models require special restrictions on the parameters to exhibit USV. We use a joint Eurodollar futures and options data set to estimate affine...
Persistent link: https://www.econbiz.de/10009440331
We determine which macroeconomic variables other than inflation and real activity drive the yield curve using a no-arbitrage affine term structure models. We construct a model-based dynamic projection of all the latent factors onto the observable macro factors, which are real activity and...
Persistent link: https://www.econbiz.de/10012735317
We evaluate the ability of several affine models to explain the term structure of the interest rates and option prices. Since the key distinguishing characteristic of the affine models is the specification of conditional volatility of the factors, we explore models which have critical...
Persistent link: https://www.econbiz.de/10012738123
Unspanned stochastic volatility (USV) refers to the inability of bonds to replicate volatility-sensitive derivative securities. Affine term structure models require special restrictions on the parameters to exhibit USV. We use a joint Eurodollar futures and options data set to estimate affine...
Persistent link: https://www.econbiz.de/10009214334
Persistent link: https://www.econbiz.de/10008455130
Persistent link: https://www.econbiz.de/10010094330
No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may...
Persistent link: https://www.econbiz.de/10010774284
US monetary policy is investigated using a regime-switching no-arbitrage term structure model that relies on inflation, output, and the short interest rate as factors. The model is complemented with a set of assumptions that allow the dynamics of the private sector to be separated from monetary...
Persistent link: https://www.econbiz.de/10010662498
No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may...
Persistent link: https://www.econbiz.de/10010570527