Inflation regimes in the US term structure of interest rates

2007 ◽  
Vol 24 (2) ◽  
pp. 203-223 ◽  
Author(s):  
Peter Tillmann
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
The Us

scholarly journals A Model to Estimate the Us Term Structure of Interest Rates

1996 ◽  
Vol 16 (1) ◽  
pp. 65 ◽  
Author(s):  
Antonio Marcos Duarte Júnior ◽  
Sérgio Ribeiro da Costa Werlang
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
The Us

Alternative characterization of volatility of short-term interest rate

2018 ◽  
Vol 05 (02) ◽  
pp. 1850018
Author(s):  
Ramaprasad Bhar ◽  
Damien Lee
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Empirical Comparison ◽  
Short Term ◽  
Latent Factor ◽  
The Us ◽  
Alternative Characterization ◽  
Technical Details

Most reported stochastic volatility (SV) model for interest rates only deals with an AR specification for the latent factor process. We show in this paper the technical details for specifying the SV model for interest rates that includes an ARMA structure, a jump component and additional exogenous variables for the latent factor process. We demonstrate the efficacy of this approach with an application to the US short-term interest rate data. We find that the elasticity parameter of the variance is closer to 0.5, i.e., similar to that of the Cox–Ingersoll–Ross (1985) model of interest rates. This is quite a contrast to the finding Chan et al. [Chan, KC, GA Karolyi, F Longstaff and A Sanders (1992). The volatility of short-term interest rates: An empirical comparison of alternative models of term structure of interest rates, Journal of Finance, 47, 1209–1227]. who found the elasticity to be close to 1.5.

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