The Empirical Implications of the Cox,Ingersoll, Ross Theory of the Term Structure of Interest Rates |
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Authors: | STEPHEN J. BROWN PHILIP H. DYBVIG |
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Abstract: | The one-factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect. |
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