Journal article | Zeitschriftenartikel
Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process
This paper derives analytical solutions for arbitrage-free bond yields when the short-term interest rate follows an autoregressive process with the intercept switching endogenously. This process from the SETAR family is especially suited to capture the near-unit-root behavior typically observed in the evolution of short-term interest rates. The derived yield functions, mapping the one-month rate into n-period yields, exhibit a convex/concave shape to the left and the right of the threshold value, respectively; a pattern which is also found in US bond yield data. The longer the time to maturity, the more distinct the nonlinearity of the yield function becomes.
- Umfang
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Seite(n): 811-822
- Sprache
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Englisch
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Quantitative Finance, 8(8)
- Thema
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Theorieanwendung
- Ereignis
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Geistige Schöpfung
- (wer)
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Lemke, Wolfgang
Archontakis, Theofanis
- Ereignis
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Veröffentlichung
- (wo)
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Vereinigtes Königreich
- (wann)
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2008
- DOI
- URN
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urn:nbn:de:0168-ssoar-221143
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Lemke, Wolfgang
- Archontakis, Theofanis
Entstanden
- 2008
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