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An empirical comparison of alternative models of the shortterm interest rate
 JOURNAL OF FINANCE
, 1992
"... ..."
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"... The dynamics of shortterm treasury interest rates are central to the pricing of all fixed income instruments and their derivatives. Chan et al. (1992) compare a variety of singlefactor continuous time models of the shortterm riskless rate. They find that models that allow the volatility of intere ..."
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The dynamics of shortterm treasury interest rates are central to the pricing of all fixed income instruments and their derivatives. Chan et al. (1992) compare a variety of singlefactor continuous time models of the shortterm riskless rate. They find that models that allow the volatility
Term Premia and Interest Rate Forecasts in Affine Models
, 2001
"... I find that the standard class of a#ne models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: The compensation that investors receive for faci ..."
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Cited by 454 (13 self)
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for facing risk is a multiple of the variance of the risk. This means that risk compensation cannot vary independently of interest rate volatility. I also describe and empirically estimate a class of models that is broader than the standard a#ne class. These "essentially a#ne" models retain
Testing for Common Trends
 Journal of the American Statistical Association
, 1988
"... Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix ..."
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Cited by 464 (7 self)
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firstorder autocorrelation matrix, where the correction is essentially a sum of the autocovariance matrices. Previous researchers have found that U.S. postwar interest rates, taken individually, appear to be integrated of order 1. In addition, the theory of the term structure implies that yields
Treasury
, 2013
"... The textbook liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand a larger risk premium to hold longterm bonds. Using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since ..."
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The textbook liquidity premium theory of interest rates predicts that the Treasury yield curve steepens with inflation uncertainty as investors demand a larger risk premium to hold longterm bonds. Using the dispersion of inflation forecasts to measure this uncertainty, we find the opposite. Since
The Determinants of Credit Spread Changes.
 Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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structure of interest rates are the level and slope of the term structure. If an increase in the slope of the Treasury curve increases the expected future short rate, then by the same argument as above, it should also lead to a decrease in credit spreads. From a different perspective, a decrease in yield
Multifractal modeling of shortterm interest rates
, 2011
"... We propose a multifractal model for shortterm interest rates. The model is a version of the MarkovSwitching Multifractal (MSM), which incorporates the wellknown level effect observed in interest rates. Unlike previously suggested models, the levelMSM model captures the powerlaw scaling of the s ..."
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Cited by 1 (0 self)
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We propose a multifractal model for shortterm interest rates. The model is a version of the MarkovSwitching Multifractal (MSM), which incorporates the wellknown level effect observed in interest rates. Unlike previously suggested models, the levelMSM model captures the powerlaw scaling
Monetary Policy When the Nominal ShortTerm Interest Rate is Zero.
 Finance and Economics Discussion Series, 200051, Board of Governors of the Federal Reserve System
, 2000
"... In an environment of low inflation, the Federal Reserve faces the risk that real interest rates could remain elevated and that it was not providing enough monetary stimulus even though it had pushed the shortterm nominal interest rate to its lower bound of zero. Assuming the nominal Treasurybill r ..."
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Cited by 49 (3 self)
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In an environment of low inflation, the Federal Reserve faces the risk that real interest rates could remain elevated and that it was not providing enough monetary stimulus even though it had pushed the shortterm nominal interest rate to its lower bound of zero. Assuming the nominal Treasury
ShortTerm Interest Rates
"... HE “liquidity effect ” plays a central role in Keynesian theory of the transmission of monetary policy. It is based on the notion that the demand for money is negatively related to the nominal interest rate. 1 Other things the same, an exogenous increase in the money stock depresses nominal and real ..."
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HE “liquidity effect ” plays a central role in Keynesian theory of the transmission of monetary policy. It is based on the notion that the demand for money is negatively related to the nominal interest rate. 1 Other things the same, an exogenous increase in the money stock depresses nominal
of shortterm interest rates’
"... Corrigendum to ‘A Gaussian approach for continuous time models ..."
Results 1  10
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2,705