Term Premia And Interest Rate Forecasts in Affine Models  

Oleh:

Dufee, Gregory R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 1 (2002), page 405-444.
Topik: interest rate; models; interest rates; forecasts; yield; studies
Fulltext: p 405.pdf (453.8KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The standard class of affine models produces poor forecasts of future treasury yields. Better forecasts are generated by assuming that yields follow randon walks. The failure of these models is driven by one of they key features. Compensation for risk is a multiple of the variance of the risk. Thus risk compensation cannot vary independently of interest rate volatility. I also describe a broader class of models. These "esssential affine" models retain the tractability of standard models, but allow compensation for interest rate risk to vary independelty of interest rate volatility. This additional flexibility proves useful in forecasting future yields.

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