双因素可转债定价的非参数方法(离散情形)——基于新的鞅方法

本文基于利率随机过程,通过非参数核估计法,建立了非参数利率期限结构动态模型来研究公司的可转债定价问题;然后,利用公司股票的历史收益率,将Canonical方法引入到可转债定价求解过程中,并由最大化熵原理得到其Canonical风险中性概率分布;最后,根据等价鞅测度定价原理得出可转债的价格。     

A discrete time model of convergence for the term structure of interest rates in the case of entering a monetary union

This paper presents a method for constructing the term structure of interest rate spreads for two currencies in the context of a country’s entry into a monetary union. We propose a special type of process that ensures the convergence of the short-term interest rate spread to zero by a fixed moment in time, which we call the discrete-time Brownian bridge process. Using this process and the conventional pricing kernel framework, we derive double recursive formulas for computing the affine coefficients for the term structure of interest rate spread. The estimated model counterpart, which is based on the pre-EMU interest rate spread data for the interest rates of the German mark and Italian lira, fits the data reasonably well and captures the stylized empirical facts. Namely, spreads for all maturities have downward trends, and the longer the maturity is, the less spread there is.     

Nominal term structure and term premia: evidence from Chile

The downwards trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behaviour of the nominal yield curve in Chile, we rely on an affine dynamic term structure model which allows the term structure to decompose into the expected short-term interest rate (related to the monetary policy expectation) and the term premium. We show that most of the fall of long-term interest rates as well as its dynamics are related to the term premium rather than the expected short-term interest rate. Moreover, we find evidence that term premium is driven primarily by the US term premium and domestic nominal uncertainty derived from expected inflation.     

Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure

This paper studies a nonlinear one-factor term structure model in discrete time. The short-term interest rate follows a self-exciting threshold autoregressive (SETAR) process that allows for shifts in the intercept and the variance. In comparison with a linear model, we find empirical evidence in favour of the threshold model for Germany and the US. Based on the estimated short-rate dynamics we derive the implied arbitrage-free term structure of interest rates. Since analytical solutions are not feasible, bond prices are computed by means of Monte Carlo integration. The resulting term structure captures stylized facts of the data. In particular, it implies a nonlinear relation between long rates and the short rate.     

Nonstationarity,cointegration and structural breaks in the Australian term structure of interest rates

This article examines the unit-root property of the Australian short- and long-term interest rates using unit-root tests that accommodate a single or two breaks under the null and/or alternative hypothesis. Two breaks in interest rates are found to coincide with the 1982/83 and 1990/91 recessions or the 1993 inflation targeting period. We further investigate the implications of these structural breaks on the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates. While there is evidence that the data are consistent with the expectations hypothesis at the shorter end of the term structure, breaks in interest rates generate a shift in the cointegrating relationship, thus altering the information content of the term structure. Failing to account for a regime shift in the cointegration regression, the data erroneously supports the expectations hypothesis at the longer end of the term structure. These results have profound implications for policy makers who may inadequately exploit the information content of the term structure to predict future changes in inflation.     

Term structure and the estimated monetary policy rule in the Eurozone

In this paper we estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure in order to analyze two issues. First, we analyze the effect of introducing an explicit term structure channel in the NKM model on the estimated parameter values of the model, with special emphasis on the interest rate smoothing parameter using data for the Eurozone. Second, we study the ability of the model to reproduce some stylized facts such as highly persistent dynamics, the weak comovement between economic activity and inflation, and the positive, strong comovement between interest rates observed in actual Eurozone data. The Sect. 3 implemented is a classical structural method based on the indirect inference principle. We are grateful to Eduardo Ley, two anonymous referees and seminar participants at the XXXI Simposio de Análisis Económico (Oviedo, Spain) and Bank of Spain for their useful comments. Financial support from Ministerio de Ciencia y Tecnología and Universidad del País Vasco (Spain) and Fundación Séneca through projects SEJ2004-04811/ECON, 9/UPV00035.321-13511/2001 and I02937/PHCS/05, respectively, is gratefully acknowledged. The first author also thanks Fundación Ramón Areces for financial support.     

利率期限结构的马尔科夫区制转移模型与实证分析

本文在利率期限结构中通过纳入马尔科夫(Markov)区制转移,将传统CKLS模型推广到更为一般的状态相依的CKLS模型,并将之应用于对我国1996年1月至2006年3月银行间同业拆借市场六组不同到期日之月度加权平均利率的研究。通过模型估计和检验分析,我们发现在不同区制下不同到期日利率漂移函数和扩散函数均呈现非线性,其中漂移函数表现为强烈的随机游走过程或均值回归过程,而扩散函数表现为低波动状态或高波动状态。此外,结果表明不同到期日利率期限结构可由缩压的马尔科夫区制转移CKLS模型获得。     

Nonstationary term premia and cointegration of the term structure

This paper proposes a model of the term structure with nonstationary term premia which exhibit a factor structure. This explains the common empirical finding of a cointegrating rank smaller than the one predicted by the rational expectations hypothesis of the term structure. An application to German interest rate data yields easily interpretable results.     

货币政策对利率期限结构的影响——基于动态Nelson-Siegel模型的实证分析

以中国人民银行发行的央票利率为货币政策变量,以动态Nelson-Siegel模型为基础构造动态因子模型,采用卡尔曼滤波估计利率期限结构因子,与货币政策变量一起建立误差修正模型,以此分析货币政策对利率期限结构的短期动态影响和长期均衡影响;同时基于中国银行间市场债券交易数据进行的实证分析表明:货币政策和利率期限结构之间的短期动态影响表现出非对称性,即债券市场对货币政策变化的反应较为迟缓,但货币政策对市场利率的变化反应敏锐。而长期均衡关系则表明,货币政策对银行间债券市场利率期限结构有显著影响,但银行间债券市场对央行的利率调控目标不敏感,不能形成明确预期。另一方面,货币政策对目标利率的市场引导效果十分敏感,银行间市场债券交易信息是央行制定货币政策的依据。     

Inflation and real short-term interest rates - A Kalman filter analysis of the term structure

This paper applies the Kalman filter technique to look at the relationship among real interest rates, inflation, and the term structure of interest rate under the expectations hypothesis. Using quarterly data from 1960:1 to 1991:1 for inflation, three month nominal short term interest rates and long term yields with maturities from one to five years, this paper finds that the expectations hypothesis of the term structure holds up well for the data under the assumptions of a time-varying premium and a random-walk real interest rate. In other words, a reconciliation of the expectations hypothesis with the data is attained by assuming time-varying term premium and non-stationary real interest rate.     

Loss aversion and the term structure of interest rates

This article studies how the loss averse behaviour affects the term structure of real interest rates. Since the pro-cyclical conditional expected marginal rate of substitution, implied from the US consumption data, is consistent with the proposition of loss aversion, we incorporate the loss averse behaviour of prospect theory into the consumption-based asset pricing model. Motivated by the similarity between habit formation and the prospect theory utility, habit formation is exploited to determine endogenously the reference point of this behavioural finance utility. The highly curved characteristic of the term structure of real interest rates can thus be captured by the additional consideration of loss aversion. This model also fits the downward sloping volatility of the real yield curve in the data of US Treasury Inflation-Protection Securities (TIPS). Moreover, depending on the effective risk attitude of the representative agent with the loss averse behaviour of prospect theory, our model is capable of generating a normal or an inverted yield curve.     

Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market

This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM), we test for the presence of a long-run relationship among exchange rate risk pricing, herding behavior, term structure and the interest rate. The estimated results based on both the ordinary least squares (OLS) and generalized least squares (GLS) estimation techniques confirm that exchange rate risk in the Canadian equity market is priced and that the pricing of this risk is time-varying. This result holds for all seven exchange rate proxies. Our empirical analysis also suggests the presence of a long-run relationship among exchange rate risk pricing, herding behavior, term structure and the interest rate. This relationship is found to be insensitive to variations in the world market return.     

A nonparametric method for term structure fitting with automatic smoothing

We present a nonparametric method for fitting the term structure of interest rates from bond prices. Our method is a variant of the smoothing spline approach, but within our framework we are able to determine the smoothing coefficient automatically from data using the generalized cross-validation or maximum likelihood estimates. We present an effective numerical algorithm to simultaneously find the term structure and the optimal smoothing coefficient. Finally, we compare the proposed nonparametric fitting method with other parametric and nonparametric methods to find its superior performance. We find that existing term structure fitting methods perform well in liquid markets while illiquid markets present new challenges, which we address in this article.     

利率期限结构与宏观经济因素的动态相依性——基于VAR模型的经验研究

利率期限结构的变化受到各种宏观经济冲击的影响,宏观经济冲击通过利率期限结构的变化影响到资产收益曲线。文章通过估计和检验结构VAR模型,发现货币冲击、供给冲击和价格冲击都对短期利率产生了持续显著的影响,而对长期利率则没有显著作用效果。宏观经济冲击只对收益曲线的截距参数具有显著影响,而对收益曲线的斜率参数和曲率参数的影响微弱。     

The expectations theory of the term structure: Evidence from inflation forecasts

This paper tests the joint hypothesis of rational expectations and the expectations theory of the term structure using the Livingston survey data on price inflation forecasts. For a variety of sample periods, the paper presents evidence that the data are consistent with the theory. Since inflation forecasts, unlike interest rates, are not linked to specific underlying financial assets, the relationship between longterm and short-term inflation forecasts should not embody risk premia. This paper's findings therefore lend support to the view that a time-varying risk premium is needed to explain the observed term structure of interest rates.     

The Heath, Jarrow, Morton Model

Equilibrium models of the term structure of interest rates, such as Vasicek (1977) and Cox et al. (1985) , hereafter CIR, determine the equilibrium yield curve by modelling the dynamics of the short-term interest rate, specifying the market price of risk, and solving the resulting partial differential equation for bond prices. Several multi-factor extensions of the Vasicek and CIR framework have been advanced in the recent term structure literature using as additional factors different variables, such as the volatility of interest rates (see, e.g. Longstaff and Schwartz, 1992 ; Dai and Singleton, 2000 ), the slope of the term structure ( Brennan and Schwartz, 1979 ; Schaefer and Schwartz, 1984 ), monetary policy rates ( Bakshi and Chen, 1996 ), and inflation ( Pennacchi, 1991 ; Sun, 1992 ). Since a no-arbitrage condition must hold in equilibrium, this brief article starts from the stated law of motion for bond prices to tersely show how their implied instantaneous forward rates have an evolution under the pricing measure that is fully characterized by the forward rate volatilities. Thus, the outcome of the article is the fundamental equation of the classic model contributed by Heath et al. (1992) , hereafter HJM, which sets off with the study of the forward rates' no-arbitrage dynamics. By doing so, it shows that, despite its different angle and its apparent complex structure, the HJM model is fully consistent and has a clear link with standard equilibrium set-ups like those of the Vasicek and CIR type. This note was written in 1994 .     

运用久期模型进行利率风险管理的若干问题分析

利率的波动会给金融机构带来利率风险:重新定价风险和市场价值变动风险。传统的资产负债管理方法:缺口(gap)管理,只能解决前者而对后者无措。因而,后来理论界和业界并始广泛推崇和实行久期(duration)方法。久期充分考虑了与时间因素相关的现金流问题,可以同时兼顾利率变动对于收益和资本利得或损失的影响,从而实现利率免疫(interest immun ization)。巴塞尔委员会(2001年)推荐的监管银行利率风险的模型就是以久期模型为基础的。然而,也有些人认为该模型在金融机构资产负债管理中实际运用起来有种种困难,并对该模型提出了许多批评意见,本文将逐一分析这些问题及解决之道。     

Instability tests in cointegration relationships. An application to the term structure of interest rates

This paper tries to review, from a practitioner's point of view, the recent strand of literature on cointegration tests allowing for structural changes or parameter instability. Thus, we apply several tests using as an example the expectations model of the term structure of interest rates. The results are consistent with the existence of cointegration between the long and the short run Spanish interest rates, with a vector (1,−1), as predicted by the theory. However, there is also evidence of structural instability, mainly at the beginning of 1994, that can be attributed to the financial changes that occurred in Spain as a result of its external commitments in the process of the European Monetary Union.     

Future inflation and the information in international term structures

This paper extends previous work on the information content of the term structure of interest rates using a newly constructed dataset for the United States, Japan, Germany, Switzerland, France, Belgium and the Netherlands (1982–1991). Results significantly differ from Jorion and Mishkin (1991). Apparently, the relation between the term structure of interest rates and future inflation is highly period- and country-dependent. We provide new evidence that these results may be due to the inability of financial markets to accurately predict a term structure of inflation in combination with the conduct of monetary policy. This probably accounts for large variation in ex post real interest rate levels and the term structure of real interest rates. Consequently, it is unlikely that the term structure of nominal interest rates will serve as a good indicator of future inflationary developments.     

中国利率期限结构的货币政策含义

本文采用Nelson-Siegel参数模型连续估计了中国利率期限结构曲线,实证了远期利率对未来即期利率的预测能力,分析了央行货币政策措施对利率期限结构的影响和实施效果,研究了利率期限结构与未来通货膨胀的关系。研究结果表明,中国利率期限结构能够为研究制定货币政策提供大量有用的信息。