The stochastic volatility of short-term interest rates: Some international evidence

• 成果类型: Article
• 署名作者: Ball, CA; Torous, WN
• 署名单位: Vanderbilt University; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00191
• 发表日期: 1999
• 页码: 2339-2359
• 关键词: Continuous-time models; series; variance

摘要

This paper estimates a stochastic volatility model of short-term riskless interest rate dynamics. Estimated interest rate dynamics are broadly similar across a number of countries and reliable evidence of stochastic volatility is found throughout. In contrast to stock returns, interest rate volatility exhibits faster mean-reverting behavior and innovations in interest rate volatility are negligibly correlated with innovations in interest rates. The less persistent behavior of interest rate volatility reflects the fact that interest rate dynamics are impacted by transient economic shocks such as central bank announcements and other macroeconomic news.