THE TERM STRUCTURE OF REAL INTEREST-RATES AND THE COX, INGERSOLL, AND ROSS MODEL

• 成果类型: Article
• 署名作者: BROWN, RH; SCHAEFER, SM
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)90016-7
• 发表日期: 1994
• 页码: 3-42
• 关键词: REAL TERM STRUCTURE; index-linked bonds; COX; INGERSOLL; AND ROSS

摘要

This paper estimates real term structures from cross-sections of British government index-linked ('real') bond prices. The Cox, Ingersoll, and Ross (1985) model is then fitted to the same data; the model closely approximates the shapes of the directly-estimated term structures. In contrast to similar studies of the nominal term structure, the long-term zero-coupon yield is quite stable, as the CIR model predicts, and in common with previous studies, the level of implied short rate volatility corresponds well with time series estimates. The other parameters, however, are often highly correlated and intertemporal parameter stability is rejected.