Predictable changes in yields and forward rates

• 成果类型: Article
• 署名作者: Backus, D; Foresi, S; Mozumdar, A; Wu, LR
• 署名单位: New York University; National Bureau of Economic Research; Virginia Polytechnic Institute & State University; Fordham University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00088-X
• 发表日期: 2001
• 页码: 281-311
• 关键词: Forecasting; TERM PREMIUMS; expectation hypothesis; PRICING KERNELS; affine models

摘要

We make two contributions to the study of interest rates, The first is to characterize their dynamics in a new way. We estimate forecasting relations based on one-period changes in forward rates, which are more easily compared than earlier work on yields to the stationary theory of bond pricing, The second is to approximate these dynamics and other salient features of interest rates with an affine model. We show that models with 'negative factors come closer to accounting for the properties of interest rates, including their dynamics, than multifactor Cox-Ingersoll-Ross models. (C) 2001 Elsevier Science S.A. All rights reserved. JEL classification. E43, G12.