An Assessment Of Estimates Of Term Structure Models For The United States
Download An Assessment Of Estimates Of Term Structure Models For The United States full books in PDF, epub, and Kindle. Read online free An Assessment Of Estimates Of Term Structure Models For The United States ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Ying He |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2011-10-01 |
| Genre | : Business & Economics |
| ISBN | : 1463923260 |
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then presents estimations of some of specific models within these families of models?three-factor Nelson-Siegel Model, four-factor Svensson model, and preference-free, two-factor Cox, Ingersoll and Roll model?for the United States from 1972 to mid 2011. It subsequently provides an assessment of the estimations. It concludes that these estimations of the term structure models successfully capture the dynamics of the term structure in the United States.
| Author | : International Monetary Fund |
| Publisher | : International Monetary Fund |
| Total Pages | : 64 |
| Release | : 2010-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1455209589 |
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 | : Eli M. Remolona |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
We estimate a three-factor model to fit both the time-series dynamics and cross-sectional shapes of the U.S. term structure. In the model, three unobserved factors drive a discrete-time stochastic discount process, with one factor reverting to a fixed mean and a second factor reverting to a third factor. To exploit the conditional density of yields, we estimate the model with a Kalman filter, a procedure that also allows us to use data for six maturities without making special assumptions about measurement errors. The estimated model reproduces the basic shapes of the average term structure, including the hump in the yield curve and the flat slope of the volatility curve. A likelihood ratio test favors the model over a nested two-factor model. Another likelihood ratio test, however, rejects the no-arbitrage restrictions the model imposes on the estimates. An analysis of the measurement errors suggests that the three factors still fail to capture enough of the comovement and persistence of yields.
| Author | : Damir Filipovic |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 259 |
| Release | : 2009-07-28 |
| Genre | : Mathematics |
| ISBN | : 3540680152 |
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
| Author | : Alois Geyer |
| Publisher | : |
| Total Pages | : |
| Release | : 1999 |
| Genre | : |
| ISBN | : |
The objective of this paper is to estimate and test multifactor versions of the Cox-Ingersoll-Ross (CIR) model of the nominal term structure of interest rates. The proposed state-space approach integrates time-series and cross-sectional aspects of the CIR model, is consistent with the underlying economic model, and can use information from all available points of the term structure. We recover estimates of the underlying factors that are consistent with the assumptions about the stochastic processes and compare them with factors obtained from standard factor analysis. We perform thorough diagnostic checking and thereby provide new evidence regarding conclusions about the adequacy of the CIR model. We present empirical results for U.S. Treasury market data. Although the specification of multifactor CIR models is sufficiently flexible for the shape of the term structure, we find strong evidence against the adequacy of the CIR model.
| Author | : Wolfgang Lemke |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 224 |
| Release | : 2005-12-08 |
| Genre | : Business & Economics |
| ISBN | : 3540283447 |
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.
| Author | : Gonzalo Cortazar |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics of the term structure. These two issues have been addressed independently in the literature. The methods that have been proposed assume a sufficiently complete price data set and are generally implemented separately. However, there are serious problems when these methods are applied to markets with sparse bond prices.We develop a method for jointly estimating the current term-structure and its dynamics for markets with infrequent trading. We propose solving both issues by using a dynamic term-structure model estimated from incomplete panel-data. To achieve this, we modify the standard Kalman filter approach to deal with the missing-observation problem. In this way, we can use historic price data in a dynamic model to estimate the current term structure. With this approach we are able to obtain an estimate of the current term structure even for days with an arbitrary low number of price observations.The proposed methodology can be applied to a broad class of continuous-time term-structure models with any number of stochastic factors. To show the implementation of the approach, we estimate a three-factor generalized-Vasicek model using Chilean government bond price data. The approach, however, may be used in any market with infrequent trading, a common characteristic of many emerging markets.
| Author | : |
| Publisher | : Lulu.com |
| Total Pages | : 294 |
| Release | : 2004 |
| Genre | : Bank capital |
| ISBN | : 9291316695 |
| Author | : L. Krippner |
| Publisher | : Springer |
| Total Pages | : 436 |
| Release | : 2015-01-05 |
| Genre | : Business & Economics |
| ISBN | : 1137401826 |
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
| Author | : Francis X. Diebold |
| Publisher | : Princeton University Press |
| Total Pages | : 223 |
| Release | : 2013-01-15 |
| Genre | : Business & Economics |
| ISBN | : 0691146802 |
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
