The Central Tendency: A Second Factor in Bond Yields
The Central Tendency: A Second Factor in Bond Yields
复制标题
集中趋势：债券收益率的第二个因素
DOI：
10.1162/003465398557339
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发表时间：
1995
影响因子：
8
通讯作者：
Silverio Foresi
中科院分区：
文献类型：
--
作者：
Pierluigi Balduzzi;Sanjiv Ranjan Das;Silverio Foresi
我们假设瞬时无风险利率回归集中趋势，而该趋势又随着时间的推移而随机变化。因此，当前的短期利率不足以预测未来的短期利率变动，就像集中趋势不变的情况一样。然而，由于较长期限债券价格包含有关集中趋势的信息，因此较长期限债券收益率可用于预测未来短期利率变动。我们开发了期限结构的双因素模型，这意味着任意两个利率的线性组合可以用作集中趋势的代理。基于这个集中趋势代理，我们估计了一个比假设集中趋势恒定的模型表现更好的一个月利率模型。
We assume that the instantaneous riskless rate reverts toward a central tendency which, in turn, is changing stochastically over time. As a result, current short-term rates are not sufficient to predict future short-term rate movements, as it would be the case if the central tendency were constant. However, since longer maturity bond prices incorporate information about the central tendency, longer maturity bond yields can be used to predict future short-term rate movements. We develop a two-factor model of the term structure which implies that a linear combination of any two rates can be used as a proxy for the central tendency. Based on this central-tendency proxy, we estimate a model of the one-month rate that performs better than models which assume the central tendency to be constant.