Pricing the term structure with linear regressions

• 成果类型: Article
• 署名作者: Adrian, Tobias; Crump, Richard K.; Moench, Emanuel
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.04.009
• 发表日期: 2013
• 页码: 110-138
• 关键词: term structure of interest rates; Fama-MacBeth regressions; Dynamic asset pricing estimation; Empirical finance

摘要

We show how to price the time series and cross section of the term structure of interest rate using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring a model using five principal components of yields as factors. We demonstrate that this model outperforms the Cochrane and Piazzesi (2008) four-factor specification in out-of-sample exercises but generates similar in-sample term premium dynamics. Our regression approach can also incorporate unspanned factors and allows estimation of term structure models without observing a zero-coupon yield curve. (c) 2013 Elsevier B.V. All rights reserved.