A Comparison of the Information in the LIBOR and CMT Term Structures of Interest Rates

2014 ◽  
Author(s):  
Robert Brooks ◽  
Brandon N. Cline ◽  
Walter Enders
Keyword(s):  
Interest Rates ◽  
Term Structures

Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis

2011 ◽  
Vol 19 (3) ◽  
pp. 259-292 ◽  
Author(s):  
Takeaki Kariya ◽  
Jingsui Wang ◽  
Zhu Wang ◽  
Eiichi Doi ◽  
Yoshiro Yamamura
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Bond Pricing ◽  
Pricing Model ◽  
Term Structures

scholarly journals Estimating the Short Rate from the Term Structures in the Vasicek Model

2014 ◽  
Vol 61 (1) ◽  
pp. 87-103
Author(s):  
Jana Halgašová ◽  
Beáta Stehlíková ◽  
Zuzana Bučková
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Calibration Method ◽  
Current Level ◽  
Model Parameters ◽  
Bond Prices ◽  
Vasicek Model ◽  
Term Structures ◽  
Short Rate Models

Abstract In short rate models, bond prices and term structures of interest rates are determined by the parameters of the model and the current level of the instantaneous interest rate (so called short rate). The instantaneous interest rate can be approximated by the market overnight, which, however, can be influenced by speculations on the market. The aim of this paper is to propose a calibration method, where we consider the short rate to be a variable unobservable on the market and estimate it together with the model parameters for the case of the Vasicek model

scholarly journals Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates

2019 ◽  
Vol 33 (8) ◽  
pp. 3719-3765 ◽  
Author(s):  
Andrea Ajello ◽  
Luca Benzoni ◽  
Olena Chyruk
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Real Term ◽  
No Arbitrage ◽  
Market Participants ◽  
Oxford University ◽  
Term Structures ◽  
Consumer Prices ◽  
Real Risk ◽  
Pass Through

Abstract We propose a no-arbitrage model of the nominal and real term structures that accommodates the different persistence and volatility of distinct inflation components. Core, food, and energy inflation combine into a single total inflation measure that ties nominal and real risk-free bond prices together. The model successfully extracts market participants’ expectations of future inflation from nominal yields and inflation data. Estimation uncovers a factor structure common to core inflation and interest rates and downplays the pass-through effect of short-lived food and energy shocks on inflation and interest rates. Model forecasts systematically outperform survey forecasts and other benchmarks. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals The Dynamic Spread of the Forward CDS with General Random Loss

2014 ◽  
Vol 2014 ◽  
pp. 1-17
Author(s):  
Kun Tian ◽  
Dewen Xiong ◽  
Zhongxing Ye
Keyword(s):  
Interest Rates ◽  
Stopping Time ◽  
Random Measure ◽  
Random Variable ◽  
Conditional Density ◽  
Default Time ◽  
Defaultable Bond ◽  
Term Structures ◽  
Stochastic Interest ◽  
Random Loss

We assume that the filtrationFis generated by ad-dimensional Brownian motionW=(W1,…,Wd)′as well as an integer-valued random measureμ(du,dy). The random variableτ~is the default time andLis the default loss. LetG={Gt;t≥0}be the progressive enlargement ofFby(τ~,L); that is,Gis the smallest filtration includingFsuch thatτ~is aG-stopping time andLisGτ~-measurable. We mainly consider the forward CDS with loss in the framework of stochastic interest rates whose term structures are modeled by the Heath-Jarrow-Morton approach with jumps under the general conditional density hypothesis. We describe the dynamics of the defaultable bond inGand the forward CDS with random loss explicitly by the BSDEs method.

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