Co-movements of International Term Structure Slopes and Affine Term Structure Models
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This present paper provides both theoretical and empirical analyses of multi-factor joint affine term structure models (JATSMs) in explaining the co-movements of international term structure slopes. We extend the single-country affine term structure models of Dai and Singleton (2000) to a two-country setup. Using the efficient method of moments and reprojection analysis, we find that a JATSM with two square-root factors and one Gaussian factor performs best in capturing the correlation between the US and the UK term structure slopes.
Abstract
This present paper provides both theoretical and empirical analyses of multi-factor joint affine term structure models (JATSMs) in explaining the co-movements of international term structure slopes. We extend the single-country affine term structure models of Dai and Singleton (2000) to a two-country setup. Using the efficient method of moments and reprojection analysis, we find that a JATSM with two square-root factors and one Gaussian factor performs best in capturing the correlation between the US and the UK term structure slopes.
참고문헌 (43)
- Ahn, D.-H, "Common Factors and Local Factors: Implications for Term Structures and Exchange Rates", Journal of Financial and Quantitative Analysis, 39(1), pp.69~102 (2004)
- Ahn, D.-H., "Quadratic Term Structure Models: Theory and Evidence", Review of Financial Studies, 15(1), pp.243~288 (2002)
- 안동현, "Purebred or hybrid?: Reproducing the volatility in term structure dynamics", JOURNAL OF ECONOMETRICS, 116(1-2), pp.147~180
- Anderson, T. G., "Estimating Continuous-Time Stochastic Volatility Models of Short-Term Interest Rates", Journal of Econometrics, 77(2), pp.343~377 (1997)
- Backus, D. K., "Affine Models of Currency Pricing: Accounting for the Forward Premium Anomaly", Journal of Finance, 56(1), pp.279~304 (2001)
- Bansal, R, "An Exploration of the Forward Premium Puzzle in Currency Markets", Review of Financial Studies, 10(2), pp.369~404 (1997)
- Bansal, R., "Term Structure of Interest Rates with Regime Shifts", Journal of Finance, 57(5), pp.1997~2043 (2002)
- Bansal, R., "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle", Journal of Business and Economic Statistics, 22(4), pp.396~409 (2004)
- Affine Term Structure Models for the Foreign Exchange Risk Premium, "Benati, L", Bank of England, ~ (2006)
- Brandt, M., "Simulated Likelihood Estimation of Multivariate Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets", Journal of Financial Economics, 63(2), pp.161~210 (2002)
- Brennan, M., "International Capital Markets and Foreign Exchange Rate Risk", Review of Financial Studies, 19(3), pp.753~795 (2006)
- Cheridito, P., "Market Price of Risk Specifications for Affine Models: Theory and Evidence", Journal of Financial Economics, 83(1), pp.123~170 (2006)
- Chernov, M., "Alternative Models for Stock Price Dynamics", Journal of Econometrics, 116(1), pp.225~257 (2003)
- Dai, Q., "Specification Analysis of Affine Term Structure Models", Journal of Finance, 55(5), pp.1943~1978 (2000)
- Dai, Q, "Term Structure Dynamics in Theory and Reality", Review of Financial Studies, 16(3), pp.631~678 (2003)
- Davis, E. P., "The Use of Financial Spreads as Indicator Variables", IMF Staff Papers, 41(1), pp.517~525 (1994)
- Duffee, G, "Term Premia and Interest Rate Forecasts in Affine Models", Journal of Finance, 57(1), pp.405~443 (2002)
- Duffie, D., "A Yield-Factor Model of Interest Rates", Mathematical Finance, 6(4), pp.379~406 (1996)
- Egorov, A., "A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates", Forthcoming in Journal of Econometrics (2008)
- Engle, R. F., "Multivariate Simultaneous Generalized ARCH", Econometric Theory, 11(1), pp.122~150 (1995)
- Estrella, A., "The Term Structure as a Predictor of Real Economic Activity", Journal of Finance, 46(2), pp.555~576 (1991)
- Estrella, A., "The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank", European Economic Review, 41(7), pp.1375~1401 (1997)
- Gallant, A. R., "Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square", Biometrica, 84(1), pp.125~141 (1997)
- Gallant, A. R., "Seminonparametric Maximum Likelihood Estimation", Econometrica, 55(2), pp.363~390 (1987)
- Gallant, A. R., "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications", Econometrica, 57(5), pp.1091~1120 (1989)
- Gallant, A. R, "Which Moments to Match", Econometric Theory, 12(4), pp.657~681 (1996)
- Gallant, A. R., "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions", Journal of American Statistical Association, 93(441), pp.10~24 (1998)
- Efficient Method of Moments, "Gallant, A. R", University of North-Carolina-Chapel Hill, ~ (2001)
- Gallant, A. R, "SNP: A Program for Nonparametric Time Series Analysis. Version 9.0, User’s Guide" (2007), Duke University
- Gallant, A. R, "EMM: A Program for Efficient Method of Moments, Version 2.0, User’s Guide, Manuscript" (2007), Duke University
- Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates, "Han, B.", University of Calgary, ~ (2003)
- Harvey, C. R, "Interest Rate Based Forecasts of German Economic Growth", Review of World Economics, 127(4), pp.701~718 (1991)
- Hu, Z, "The Yield Curve and Real Activity", IMF Staff Papers, 40(4), pp.781~806 (1993)
- Inci, A. C, "US-Swiss Term Structures and Exchange Rate Dynamics", Global Finance Journal, 18(2), pp.270~288 (2007)
- Inci, A. C., "Exchange Rates and Interest Rates: Can Term Structure Models Explain Currency Movements", Journal of Economic Dynamics and Control, 28(8), pp.1595~1624 (2004)
- Jung, Y, "The Term Structure of Interest Rates and the Real Activity in a Sticky Price Model", Seoul Journal of Economics, 14(1), pp.31~57 (2001)
- Leippold, M., "Design and Estimation of Multi-Currency Quadratic Models", Review of Finance, 11(2), pp.167~207 (2007)
- Litterman, R., "Common Factor Affecting Bond Returns", Journal of Fixed Income, 1(1), pp.54~61 (1991)
- Modelling International Bond Markets with Affine Term Structure Models, "Mosburger, G.", University of Vienna, ~ (2005)
- An Econometric Model of the Yield Curve with Macroeconomic Jump Effects, "Piazzesi, M", NBER, ~ (2001)
- Schwartz, G, "Estimating the Dimension of a Model", Annals of Statistics, 6(2), pp.461~464 (1978)
- Byeongseon Seo, "Rational Expectations, Long-run Taylor Rule, and Forecasting Inflation", Seoul Journal of Economics, 20(2), pp.239~262 (2007), 경제연구소
- Tauchen, G, "The Objective Function of Simulated Estimators Near the Boundary of the Unstable Region of the Parameter Space", Review of Economics and Statistics, 80(3), pp.389~398 (1998)
