Short-term interest rates as subordinated diffusions
Short-term interest rates as subordinated diffusions
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作为次级扩散的短期利率
DOI：
10.1093/rfs/10.3.525
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发表时间：
1997
影响因子：
8.2
通讯作者：
J. Scheinkman
中科院分区：
文献类型：
--
作者：
Timothy G. Conley;L. Hansen;Erzo G. J. Luttmer;J. Scheinkman
在这篇文章中，我们使用联邦基金利率数据来描述和估计短期利率的过程。我们假设我们正在观察一个静态标量扩散的离散时间样本。我们专注于一类模型，其中的局部波动率弹性是常数和漂移有一个灵活的规格。为了适应缺失的观测数据，并打破“经济时间”和日历时间之间的联系，我们将抽样方案建模为一个无法直接观察到的增长过程。我们提出并实现了两种新的估计方法。我们发现的波动弹性之间的一个和一个半和两个证据。当利率高时，局部均值回归很小，诱导平稳性的机制是扩散过程的波动性增加。合著者是Lars Peter汉森，Erzo G. J. Luttmer和Jose A.沙因克曼牛津大学出版社代表金融研究学会在其期刊《金融研究评论》上发表的文章。
In this article we characterize and estimate the process for short-term interest rates using federal funds interest rate data. We presume that we are observing a discrete-time sample of a stationary scalar diffusion. We concentrate on a class of models in which the local volatility elasticity is constant and the drift has a flexible specification. To accommodate missing observations and to break the link between "economic time" and calendar time, we model the sampling scheme as an increasing process that is not directly observed. We propose and implement two new methods for estimation. We find evidence for a volatility elasticity between one and one-half and two. When interest rates are high, local mean reversion is small and the mechanism for inducing stationarity is the increased volatility of the diffusion process. Coauthors are Lars Peter Hansen, Erzo G. J. Luttmer, and Jose A. Scheinkman. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.