AN EMPIRICAL-COMPARISON OF ALTERNATIVE MODELS OF THE SHORT-TERM INTEREST-RATE

• 成果类型: Article
• 署名作者: CHAN, KC; KAROLYI, GA; LONGSTAFF, FA; SANDERS, AB
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2328983
• 发表日期: 1992
• 页码: 1209-1227
• 关键词: autoregressive time-series; ASSET-PRICING MODEL; REAL INTEREST-RATES; DEFAULT-FREE BONDS; traditional hypotheses; STOCHASTIC-PROCESSES; generalized-method; unit-root; options; consumption

摘要

We estimate and compare a variety of continuous-time models of the short-term riskless rate using the Generalized Method of Moments. We find that the most successful models in capturing the dynamics of the short-term interest rate are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rate. A number of well-known models perform poorly in the comparisons because of their implicit restrictions on term structure volatility. We show that these results have import,ant implications for the use of different term structure models in valuing interest rate contingent claims and in hedging interest rate risk.