| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5354 |
| DP5354 Human Capital, the Structure of Production, and Growth | |
| Antonio Ciccone; Elias Papaioannou | |
| 发表日期 | 2005-11-11 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an additional input to the estimation to overcome the problem. The three-factor pure-Gaussian model thus estimated with the U.S. Treasury term structure for the 1990-2003 period generates a stable estimate of the expected path of the short rate, reproduces the well-known stylized patterns in the expectations hypothesis tests, and captures some of the short-run variations in the survey forecast of the changes in longer-term interest rates. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Dynamic term structure models Survey data Interest rate forecasts Term premia Expectations hypothesis |
| URL | https://cepr.org/publications/dp5354 |
| 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/534214 |
| 推荐引用方式 GB/T 7714 | Antonio Ciccone,Elias Papaioannou. DP5354 Human Capital, the Structure of Production, and Growth. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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