A model of the term structure of interest rates for an economically dependent country |
| |
Authors: | Isao Shoji |
| |
Affiliation: | (1) Department of Statistical Science, The Graduate University for Advanced Studies, 4-6-7 Minami-Azabu, Minato-Ku, 106 Tokyo, Japan |
| |
Abstract: | This paper presents a closed form model of the term structure of interest rates for an economically dependent country. Using monthly Euroyen rates and Eurodollar rates in the London Market of the period January 1981 to December 1992, we conduct empirical tests and show that our model is consistent with the term structure of the Euroyen rates. Furthermore, comparing the predictive power of our model with that of Vasicek model, our model is shown to perform better. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|