| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20711 |
| 来源ID | Working Paper 20711 |
| Jumps in Bond Yields at Known Times | |
| Don H. Kim; Jonathan H. Wright | |
| 发表日期 | 2014-12-01 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We construct a no-arbitrage term structure model with jumps in the entire state vector at deterministic times but of random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as a time-inhomogenous affine function of the state vector. We apply the model to the term structure of US Treasury rates, estimated at the daily frequency, allowing for jumps on days of employment report announcements. Our model can match the empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that much of the time-variation in excess bond returns accrues at times of important macroeconomic data releases. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20711 |
| 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/578384 |
| 推荐引用方式 GB/T 7714 | Don H. Kim,Jonathan H. Wright. Jumps in Bond Yields at Known Times. 2014. |
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