| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4676 |
| 来源ID | Working Paper 4676 |
| Reverse Engineering the Yield Curve | |
| David K. Backus; Stanley E. Zin | |
| 发表日期 | 1994-03-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like. We use observed prices of multi-period bonds to estimate, in a log-linear theoretical setting, the pricing kernel that gave rise to them. The high-order dynamics of our estimated kernel help to explain why first-order, one-factor models of the term structure have had difficulty reconciling the shape of the yield curve with the persistence of the short rate. We use the estimated kernel to provide a new perspective on Hansen-Jagannathan bounds, the price of risk, and the pricing of bond options and futures. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w4676 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562066 |
| 推荐引用方式 GB/T 7714 | David K. Backus,Stanley E. Zin. Reverse Engineering the Yield Curve. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4676.pdf（380KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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