Term Structure Estimation with Survey Data on Interest Rate Forecasts
Term Structure Estimation with Survey Data on Interest Rate Forecasts
复制标题
利用利率预测调查数据进行期限结构估计
DOI：
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发表时间：
2005
影响因子：
3.9
通讯作者：
Athanasios Orphanides
中科院分区：
文献类型：
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作者：
Don H. Kim;Athanasios Orphanides
由于利率的高度持续性，对具有灵活风险市场价格规格的动态无套利期限结构模型的估计存在严重的小样本问题。我们建议使用短期利率的调查预测作为估计的额外输入来克服这个问题。为了说明该方法，我们用美国国债收益率数据估计三因素仿射高斯模型，并证明纳入调查预测信息可以缓解小样本问题。因此，对1990-2003年样本估计的模型对短期利率的预期路径产生了一个稳定而合理的估计，再现了预期假设检验中众所周知的程式化模式，并在对长期利率变化的调查预测中捕捉到了一些短期变化。
Abstract The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by severe small-sample problems arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an additional input to the estimation to overcome the problem. To illustrate the methodology, we estimate the 3-factor affine-Gaussian model with U.S. Treasury yields data and demonstrate that incorporating information from survey forecasts mitigates the small-sample problem. The model thus estimated for the 1990–2003 sample generates a stable and sensible estimate of the expected path of the short rate, reproduces the well-known stylized patterns in the expectations hypothesis tests, and captures some of the short-run variations in the survey forecast of the changes in longer-term interest rates.