Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
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DOI：
10.1093/jjfinec/nbu010
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发表时间：
2013-06
影响因子：
2.5
通讯作者：
Jens H. E. Christensen;Glenn D. Rudebusch
中科院分区：
文献类型：
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作者：
Jens H. E. Christensen;Glenn D. Rudebusch
标准高斯期限结构模型经常被批评为没有排除负名义利率，但这一缺陷在许多国家的利率接近于零的情况下尤其明显。我们提供了一个易于处理的方法来估计另一种高斯影子利率动态期限结构模型，强制执行债券收益率的零下限。我们通过估计一个，两个和三个因素的影子利率模型的样本为正和接近零的日本债券收益率来说明这个模型。我们发现，阴影率的水平是敏感的模型拟合和规格，包括所采用的因素的数量。
Standard Gaussian term structure models have often been criticized for not ruling out negative nominal interest rates, but this flaw has been especially conspicuous with interest rates near zero in many countries. We provide a tractable means to estimate an alternative Gaussian shadow-rate dynamic term structure model that enforces the zero lower bound on bond yields. We illustrate this model by estimating one-, two-, and three-factor shadow-rate models on a sample of positive and near-zero Japanese bond yields. We find that the level of the shadow rate is sensitive to model fit and specification, including the number of factors employed.