| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2055 |
| DP2055 English-Language Dominance, Literature and Welfare | |
| Jacques MELITZ | |
| 发表日期 | 1999-01-31 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This paper proposes a panel data framework for tests of affine models of the term structure of interest rates which cover equilibrium (or endogenous) models as well as extended (or exogenous, evolutionary) models. The econometric model pools yield curve data for different moments in time. Since each cross-sectional yield curve only depends on the risk neutral factor dynamics, the estimator does not involve any assumptions on the price of risk, or on actual interest rate dynamics. In the empirical application one and two factor Gaussian models are tested on US interest rate data. The main empirical results are: (i) that a two-factor model cannot be rejected; (ii) that mean reversion is highly significant; and (iii) that the extended models are 'over-differenced'. |
| 主题 | Financial Economics |
| 关键词 | Affine models Factor models Panel data Term structure of interest rates |
| URL | https://cepr.org/publications/dp2055 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531179 |
| 推荐引用方式 GB/T 7714 | Jacques MELITZ. DP2055 English-Language Dominance, Literature and Welfare. 1999. |
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