Is the short rate drift actually nonlinear?

• 成果类型: Article
• 署名作者: Chapman, DA; Pearson, ND
• 署名单位: University of Texas System; University of Texas Austin; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00208
• 发表日期: 2000
• 页码: 355-388
• 关键词: term structure; density; models; regression; MARKET

摘要

Ait-Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short-term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite-sample properties of their estimators by applying them to simulated sample paths of a square-root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in Ait-Sahalia (1996) and Stanton (1997). Combined with the results of a weighted least squares estimator, this evidence implies that nonlinearity of the short rate drift is not a robust stylized fact.