Term structure estimation without using latent factors

• 成果类型: Article
• 署名作者: Duffee, GR
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.03.007
• 发表日期: 2006
• 页码: 507-536
• 关键词: term structure; Dynamic models; Bond pricing

摘要

A combination of observed and unobserved (latent) factors capture term structure dynamics. Information about these dynamics is extracted from observed factors using restrictions implied by no-arbitrage, without specifying or estimating any of the parameters associated with latent factors. Estimation is equivalent to fitting the moment conditions of a set of regressions, where no-arbitrage imposes cross-equation restrictions on the coefficients. The methodology is applied to the dynamics of inflation and yields. Outside of the disinflationary period of 1979 through 1983, short-term rates move one-for-one with expected inflation, while bond risk premia are insensitive to inflation. (c) 2005 Elsevier B.V. All rights reserved.