A Kalman filter approach to characterizing the Canadian term structure of interest rates
A Kalman filter approach to characterizing the Canadian term structure of interest rates
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DOI：
10.1080/09603100500107917
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发表时间：
2005-06
期刊：
影响因子：
--
通讯作者：
Toni Gravelle;James C. Morley *
中科院分区：
文献类型：
--
作者：
Toni Gravelle;James C. Morley *
本文使用卡尔曼滤波方法来检验预期假设，并刻画加拿大短期利率的期限溢价随时间的变化。卡尔曼滤波方法被扩展到考虑利率波动性的变化、期限溢价可能的永久性变化以及重叠的预测误差。预期假设被强烈否定，估计期限溢价显示出显著的时间变化。有一些证据表明，期限溢价和利率波动之间存在正向关系，尽管其他宏观经济和政治因素也很重要，特别是汇率波动。此外，在20世纪80年代末，估计的定期溢价实际上是负的。
This paper employs a Kalman filter approach to test the Expectations Hypothesis and characterize how term premia have changed over time for short-term Canadian interest rates. The Kalman filter approach is extended to account for changes in interest rate volatility, possible permanent changes in term premia, and overlapping forecast errors. The Expectations Hypothesis is strongly rejected with estimated term premia displaying significant time variation. There is some evidence of a positive relationship between term premia and interest rate volatility, although other macroeconomic and political factors are important, especially exchange rate volatility. Also, estimated term premia were actually negative during the late 1980s.