Term Structure Estimation With Survey Data On Interest Rate Forecasts
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Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author | : |
Publisher | : |
Total Pages | : 28 |
Release | : 1987 |
Genre | : |
ISBN | : |
Author | : Kenneth A. Froot |
Publisher | : |
Total Pages | : |
Release | : 1990 |
Genre | : |
ISBN | : |
Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium
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 | : Ken O. Kortanek |
Publisher | : John Wiley & Sons |
Total Pages | : 248 |
Release | : 2001-11-28 |
Genre | : Business & Economics |
ISBN | : |
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Author | : Don H. Kim |
Publisher | : |
Total Pages | : 68 |
Release | : 2005 |
Genre | : Interest rates |
ISBN | : |
Author | : H. Joe Wells |
Publisher | : |
Total Pages | : 294 |
Release | : 1978 |
Genre | : Interest |
ISBN | : |
Author | : Taeyoung Doh |
Publisher | : |
Total Pages | : 44 |
Release | : 2013 |
Genre | : |
ISBN | : |
Using Bayesian methods, this paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their timevarying volatility determine asset price variation. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that i) agents dislike high uncertainty and demand compensation for volatility risks, ii) the time variation of the term premium is driven by the compensation for fluctuating inflation volatility, and iii) estimates of risk factors are broadly consistent with survey data evidence.
Author | : R. S. Masera |
Publisher | : |
Total Pages | : 232 |
Release | : 1972 |
Genre | : Business & Economics |
ISBN | : |
Author | : Li-Hsueh Chen |
Publisher | : |
Total Pages | : 248 |
Release | : 1998 |
Genre | : |
ISBN | : |