Design and Estimation of Multi-Currency Quadratic Models
Design and Estimation of Multi-Currency Quadratic Models
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多货币二次模型的设计和估计
DOI：
10.2139/ssrn.486062
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发表时间：
2003
期刊：
影响因子：
--
通讯作者：
Liuren Wu
中科院分区：
文献类型：
--
作者：
Markus Leippold;Liuren Wu
为了在无套利框架下同时考虑利率期限结构和汇率的性质，本文提出了一个具有（m+n）因子结构的多币种二次模型. m因子模拟了两国的利率期限结构。n个因子反映了汇率变动中独立于两国利率期限结构的部分。我们使用美国和日本的LIBOR和互换利率以及两国之间的汇率估计了一系列多货币二次模型。
To simultaneously account for the properties of interest-rate term structure and foreign exchange rates within an arbitrage-free framework, we propose a multi-currency quadratic model with an (m+n) factor structure. The m factors model the term structure of interest rates in both countries. The n factors capture the portion of the exchange rate movement that is independent of the term structure of either country. We estimate a series of multi-currency quadratic models using U.S. and Japanese LIBOR and swap rates and the exchange rate between the two countries.