| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6325 |
| 来源ID | Working Paper 6325 |
| The Central Tendency: A Second Factor in Bond Yields | |
| Pierluigi Balduzzi; Sanjiv Ranjan Das; Silverio Foresi | |
| 发表日期 | 1997-12-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was constant. However, since longer-maturity bond prices incorporate information" about the central tendency, longer-maturity bond yields can be used to predict future short-term" rate movements. We develop a two-factor model of the term-structure which implies that a" linear combination of any two rates can be used as a proxy for the central tendency. Based on" this central-tendency proxy, we estimate a model of the one-month rate which performs better" than models which assume the central tendency to be constant. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w6325 |
| 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/563832 |
| 推荐引用方式 GB/T 7714 | Pierluigi Balduzzi,Sanjiv Ranjan Das,Silverio Foresi. The Central Tendency: A Second Factor in Bond Yields. 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 | ||
| w6325.pdf（1061KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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