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.
- Extent
-
Seite(n): 811-822
- Language
-
Englisch
- Notes
-
Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
-
Quantitative Finance, 8(8)
- Subject
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Theorieanwendung
- Event
-
Geistige Schöpfung
- (who)
-
Lemke, Wolfgang
Archontakis, Theofanis
- Event
-
Veröffentlichung
- (where)
-
Vereinigtes Königreich
- (when)
-
2008
- DOI
- URN
-
urn:nbn:de:0168-ssoar-221143
- Rights
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
11.06.20242024, 3:09 PM CEST
Data provider
This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Lemke, Wolfgang
- Archontakis, Theofanis
Time of origin
- 2008
Other Objects (12)
Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process
Bond pricing when the short term interest rate follows a threshold process
Product Pricing when Demand Follows a Rule of Thumb
Structure follows Process follows Strategy
Pricing Inflation Linked Bonds
Pricing Inflation Linked Bonds
Function Follows Vision, Vision Follows Reality
Who follows?
Bond pricing and the macroeconomy
Realized moments and bond pricing
Function Follows Form
Form follows function
Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process
Bond pricing when the short term interest rate follows a threshold process
Product Pricing when Demand Follows a Rule of Thumb
Structure follows Process follows Strategy
Pricing Inflation Linked Bonds
Pricing Inflation Linked Bonds
Function Follows Vision, Vision Follows Reality
Who follows?
Bond pricing and the macroeconomy
Realized moments and bond pricing
Function Follows Form
Form follows function
Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process
Bond pricing when the short term interest rate follows a threshold process
Product Pricing when Demand Follows a Rule of Thumb
Structure follows Process follows Strategy
Pricing Inflation Linked Bonds
Pricing Inflation Linked Bonds
Function Follows Vision, Vision Follows Reality
Who follows?
Bond pricing and the macroeconomy
Realized moments and bond pricing
Function Follows Form