Search Results - subject:"term structure models"

Dynamic term structure models: The best way to enforce the zero lower bound

Andreasen, Martin M.; Meldrum, Andrew - School of Economics and Management, University of Aarhus - 2014

This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound … by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure … models (QTSMs) and shadow rate models with at most four pricing factors using the sequential regression approach. Our …

Persistent link: https://www.econbiz.de/10011084733

Nonlinear Kalman Filtering in Affine Term Structure Models

Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; … - Centre Interuniversitaire sur le Risque, les Politiques … - 2014

The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that...

Persistent link: https://www.econbiz.de/10011086415

On the Range of Admissible Term-Structures

Cousin, Areski; Niang, Ibrahima - HAL - 2014

-free bounds for OIS-implied discount rates and CDS-implied default probabilities. We then show how mean-reverting term structure … models can be used as generators of admissible curves. This framework is based on a particular specification of the mean …

Persistent link: https://www.econbiz.de/10010899858

Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs

Li, Canlin; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014

This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve's large-scale asset purchase programs. Our estimates show that the first and the...

Persistent link: https://www.econbiz.de/10010784178

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014

The dynamic behaviour of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10011605677

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - European Central Bank - 2014

Persistent link: https://www.econbiz.de/10010753744

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014

Persistent link: https://www.econbiz.de/10010239892

Common factors in international bond returns and a joint ATSM to match them

Gabriel, Christian - In: Theoretical economics letters 4 (2014) 7, pp. 532-539

Persistent link: https://www.econbiz.de/10010531345

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10010368212

Was there a "Greenspan conundrum" in the Euro area ?

Lamé, Gildas - Volkswirtschaftliche Fakultät, … - 2013

This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use a Near-Cointegrated VAR-like approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...

Persistent link: https://www.econbiz.de/10011108613