The Dynamics of Interest Rates: Specification Analysis

利率动态：规范分析

• 批准号: 9730305
• 负责人: Yacine Ait-Sahalia
• 金额: $ 5.27万
• 依托单位: University of Chicago
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1998
• 资助国家: 美国
• 起止时间: 1998-07-01 至 1998-10-26
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9730305&HistoricalAwards=false
• 关键词: Dynamics; Interest; Rates; Specification; Analysis

9730305 Ait-Sahalia Interest rates have traditionally been modeled in the economics literature as following continuous-time Markov processes, and more specifically diffusions. By contract, recent term structure models often imply non-Markovian continuous-time dynamics. Can discretely sampled interest rate data help decide which continuous-time models are sensible? Within the Markovian world, diffusion processes are characterized by the continuity of their sample paths. It is immediately obvious that this condition cannot be verified from the observed sample path. By nature, even if the sample path were continuous, the discretely sampled interest rate data will appear as a sequence of discrete changes. This is a fundamental and very important problem in financial economics. This project examines whether the discontinuities observed in the discrete data are the result of discreteness of sampling, or rather evidence of genuine non-diffusion dynamics of the continuous-time interest rate process. The issue is to isolate the observable implications for the data of being an incomplete discrete sample from a continuous-time diffusion. The project relies on testing a necessary and sufficient restriction on the condition densities of diffusions, at the sampling interval of the observed data. This restriction characterizes the continuity of the unobservable complete sample path. This project investigates the distribution, consistency and power properties of the test statistics. The tests will be implemented empirically. ??

小行星9730305 在经济学文献中，利率传统上被建模为连续时间马尔可夫过程，更具体地说是扩散。 相比之下，最近的期限结构模型往往隐含着非马尔可夫连续时间动态。 离散采样的利率数据能否帮助决定哪些连续时间模型是合理的？ 在马尔可夫世界中，扩散过程的特征在于其样本路径的连续性。 很明显，这一条件无法从观察到的样本路径中得到验证，因为从本质上讲，即使样本路径是连续的，离散采样的利率数据也会表现为一系列离散变化。 这是金融经济学中一个基本的、非常重要的问题。 本项目研究离散数据中观察到的不连续性是否是采样离散性的结果，或者更确切地说，连续时间利率过程的真正非扩散动力学的证据。 这个问题是隔离的数据是一个不完整的离散样本的连续时间扩散的可观察到的影响。 该项目依赖于测试扩散的条件密度的必要和充分的限制，在所观察到的数据的采样间隔。 这个限制刻画了不可观测的完全样本路径的连续性。本项目研究了检验统计量的分布、一致性和功效性质。 测试将根据经验进行。 ??