Riding the Yield Curve

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Consistent Yield Curve Prediction

We present an arbitrage-free, non-parametric yield curve prediction model which takes the full discretized yield curve data as input state variable. The absence of arbitrage is a particular important model feature for prediction models in case of highly correlated data as, e.g., for interest rates. Furthermore, the model structure allows to separate constructing the daily yield curve from estim...

متن کامل

Predicting Real Growth Using the Yield Curve

The yield curve, which plots the yield of Treasury bonds against their maturity, is one of the most closely watched financial indicators.1 Many market observers carefully track the yield curve’s shape, which is typically upward sloping and somewhat convex. At times, however, it becomes flat or slopes downward (“inverts,” in Wall Street parlance), configurations that many business economists, fi...

متن کامل

Anchoring the Yield Curve Using Survey Expectations

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only for very short maturities. We argue that this is partly due to the ability of survey participants to in...

متن کامل

Beta Regimes for the Yield Curve

We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed-form formula for the whole yield curve dynamics that can be estimated using a linearized Kalman filter. F...

متن کامل

Time Deformation and the Yield Curve

This paper considers how trading activity at one maturity of the yield curve a¤ects and is a¤ected by trading at other maturities. We approach the modelling of bond prices from a stochastic volatility perspective based on time deformation. We put forward a new, continuous time, multivariate time deformation model which is coherent with the market microstructure theory of price discovery and cap...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: IMF Working Papers

سال: 2020

ISSN: 1018-5941

DOI: 10.5089/9781513531861.001