| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16549 |
| 来源ID | Working Paper 16549 |
| An Empirical Analysis of the Swaption Cube | |
| Anders B. Trolle; Eduardo S. Schwartz | |
| 发表日期 | 2010-11-25 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We use a comprehensive database of inter-dealer quotes to conduct the first empirical analysis of the dynamics of the swaption cube. Using a model independent approach, we establish a set of stylized facts regarding the cross-sectional and time-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are significantly related to the characteristics of agents' belief distributions for the macroeconomy, with GDP beliefs the most important factor in the USD market, and inflation beliefs the most important factor in the EUR market. This is consistent with differences in monetary policy objectives in the two markets. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w16549 |
| 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/574224 |
| 推荐引用方式 GB/T 7714 | Anders B. Trolle,Eduardo S. Schwartz. An Empirical Analysis of the Swaption Cube. 2010. |
| 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 | ||
| w16549.pdf（723KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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