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24,889
A no-arbitrage term structure model without latent factors
, 2004
"... I present a framework for modeling part of the dynamics of the term structure. The framework can be used to link the term structure to observed variables such as inflation and output. Its partial nature allows us to dispense with yield-based factors (e.g., latent factors) while retaining restriction ..."
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Cited by 3 (0 self)
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restrictions associated with no-arbitrage. I apply the model to the joint dynamics of inflation and the term structure. As other research has noted, both short-term and long-term bond yields adjust gradually to a change in inflation. I find that the dynamics of the price of interest rate risk needed to fit
Forecasting with the term structure: The role of no-arbitrage restrictions
, 2007
"... No-arbitrage term structure models impose cross-sectional restrictions among yields and can be used to impose dynamic restrictions on risk compensation. This paper evaluates the importance of these restrictions when using the term structure to forecast future bond yields. It concludes that no cross- ..."
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No-arbitrage term structure models impose cross-sectional restrictions among yields and can be used to impose dynamic restrictions on risk compensation. This paper evaluates the importance of these restrictions when using the term structure to forecast future bond yields. It concludes that no cross
Time-Consistent No-Arbitrage Models of the Term Structure
, 2003
"... We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the par ..."
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Cited by 17 (3 self)
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We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact
2007): “A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Ex-change Rate”, Bank of Canada Working Paper No
"... Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. ISSN 1701-9397 © 2007 Bank of Canada ii We study the j ..."
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Cited by 6 (0 self)
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the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
, 2002
"... ..."
Forecasting Interest Rates
- In Handbook of Economic Forecasting
, 2012
"... This chapter discusses what the asset-pricing literature concludes about the forecastability of interest rates. It outlines forecasting methodologies implied by this literature, including dynamic, no-arbitrage term structure models and their macro-finance extensions. It also reviews the empirical ev ..."
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Cited by 3 (0 self)
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This chapter discusses what the asset-pricing literature concludes about the forecastability of interest rates. It outlines forecasting methodologies implied by this literature, including dynamic, no-arbitrage term structure models and their macro-finance extensions. It also reviews the empirical
A No-Arbitrage Model of the Term Structure and the Macroeconomy
, 2003
"... This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrage specification of the term structure with standard macroeconomic aggregate relationships for output and inflation. From this model, we obtain several important empirical results: (1) the latent term ..."
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Cited by 5 (0 self)
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This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrage specification of the term structure with standard macroeconomic aggregate relationships for output and inflation. From this model, we obtain several important empirical results: (1) the latent term
Shifting Endpoints In The Term Structure Of Interest Rates
, 1997
"... : This paper links the term structure to perceptions of monetary policy. Long-horizon forecasts of short rates required by no-arbitrage term structure models are heavily influenced by the endpoints, or limiting conditional forecasts, of the short rate process. Common assumptions that the short rate ..."
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Cited by 116 (9 self)
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: This paper links the term structure to perceptions of monetary policy. Long-horizon forecasts of short rates required by no-arbitrage term structure models are heavily influenced by the endpoints, or limiting conditional forecasts, of the short rate process. Common assumptions that the short rate
An Interpretation of An Affine Term Structure Model for Chile
, 2006
"... This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model. The dynamics of yields in the model are explained by two latent fac-tors, the instantaneous sho ..."
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This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model. The dynamics of yields in the model are explained by two latent fac-tors, the instantaneous
A No-Arbitrage Vector Autoregression . . .
, 2001
"... This paper describes the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a term structure model with inflation and economic growth factors, we investigate how macro variables affect bond ..."
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bond prices and the dynamics of the yield curve. The setup accommodates higher order autoregressive lags for the macro factors. The macro variables are augmented by traditional unobserved term structure factors. We find that the forecasting performance of a VAR improves when no-arbitrage restrictions
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24,889
