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The Term Structure of Policy Rules
Term Structure Policy Rules
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2015/8/3
We first document a large secular shift in the estimated response of the entire term structure of interest
rates to inflation and output in the United States. The shift occurred in the early 1980s. W...
An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
Term structure Stochastic volatility Wishart Autoregressive process
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2011/4/2
This paper proposes an affine term structure model in a stochastic volatility setting. It provides a useful modeling tool to bridge the two strands of macroeconomic and finance research: the DSGE-VAR ...
Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence
term structure models instruments pricing fixed income securities
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2011/4/2
This article provides a survey on term structure models designed for pricing fixed income securities and their derivatives. 1 The past several decades have witnessed a rapid development in the fixed-i...
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Multivariate Feller conditions structure models care
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2010/12/17
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate ...