| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6128 |
| 来源ID | Working Paper 6128 |
| Specification Analysis of Affine Term Structure Models | |
| Qiang Dai; Kenneth J. Singleton | |
| 发表日期 | 1997-08-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper characterizes, interprets, and tests the over-identifying restrictions imposed in affine models of the term" structure. Letting r(t) = ë Y(t), where Y is an unobserved vector affine process, our analysis proceeds in three steps. First, we show that affine models can be categorized according to the different over-identifying restrictions they impose on (i) ë, and (ii) the parameters of the diffusion matrices. Second, this formulation is shown to be equivalent to a model in which there is a terraced drift structure with one of the state variables being the stochastic long-run mean of r. This equivalence allows direct comparisons of the substantive restrictions on the dynamics of interest rates imposed in CIR-style models and models in which the state variables are the stochastic long-run mean and volatility of r. Third, we compute simulated method of moments estimates of a three-factor affine term structure model, and test the over-identifying restrictions on the joint distribution of long- and short-term interest rates implied by extant affine models of r. We find allowing for correlated factors is key to simultaneously describing the short and long ends of the yield curve. This finding is interpreted in terms of the properties of the risk factors underlying term structure movements. |
| URL | https://www.nber.org/papers/w6128 |
| 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/563638 |
| 推荐引用方式 GB/T 7714 | Qiang Dai,Kenneth J. Singleton. Specification Analysis of Affine Term Structure Models. 1997. |
| 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 | ||
| w6128.pdf（1493KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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