The statistical and economic role of jumps in continuous-time interest rate models

• 成果类型: Article
• 署名作者: Johannes, M
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6321.2004.00632.x
• 发表日期: 2004
• 页码: 227-260
• 关键词: TERM STRUCTURE DYNAMICS; volatility; prices; MARKET

摘要

This paper analyzes the role of jumps in continuous-time short rate models. I first develop a test to detect jump-induced misspecification and, using Treasury bill rates, find evidence for the presence of jumps. Second, I specify and estimate a nonparametric jump-diffusion model. Results indicate that jumps play an important statistical role. Estimates of jump times and sizes indicate that unexpected news about the macroeconomy generates the jumps. Finally, I investigate the pricing implications of jumps. Jumps generally have a minor impact on yields, but they are important for pricing interest rate options.