Arbeitspapier
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the factor volatilities follow highly persistent processes. We show that slope and curvature risk have explanatory power for bond excess returns and illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary policy and employment growth.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2009/03
- Classification
-
Wirtschaft
- Subject
-
Term Structure Modelling
Yield Curve Risk
Stochastic Volatility
Factor Models
Macroeconomic Fundamentals
Zinsrisiko
Zinsstruktur
Volatilität
Öffentliche Anleihe
Makroökonomischer Einfluss
Schätzung
USA
- Event
-
Geistige Schöpfung
- (who)
-
Hautsch, Nikolaus
Ou, Yangguoyi
- Event
-
Veröffentlichung
- (who)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2009
- Handle
- URN
-
urn:nbn:de:hebis:30-63749
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hautsch, Nikolaus
- Ou, Yangguoyi
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2009
Other Objects (12)
Yield curve factors, term structure volatility, and bond risk premia
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Volatility Estimation on the Basis of Price Intensities
Bayesian inference in a stochastic volatility Nelson-Siegel Model
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Modelling high-frequency volatility and liquidity using multiplicative error models
Discrete-time stochastic volatility models and MCMC-based statistical inference
On the dark side of the market: Identifying and analyzing hidden order placements
On the dark side of the market: Identifying and analyzing hidden order placements
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Yield curve factors, term structure volatility, and bond risk premia
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Volatility Estimation on the Basis of Price Intensities
Bayesian inference in a stochastic volatility Nelson-Siegel Model
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Modelling high-frequency volatility and liquidity using multiplicative error models
Discrete-time stochastic volatility models and MCMC-based statistical inference
On the dark side of the market: Identifying and analyzing hidden order placements
On the dark side of the market: Identifying and analyzing hidden order placements
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Yield curve factors, term structure volatility, and bond risk premia
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Volatility Estimation on the Basis of Price Intensities
Bayesian inference in a stochastic volatility Nelson-Siegel Model
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Modelling high-frequency volatility and liquidity using multiplicative error models
Discrete-time stochastic volatility models and MCMC-based statistical inference
On the dark side of the market: Identifying and analyzing hidden order placements
On the dark side of the market: Identifying and analyzing hidden order placements
The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Modelling Intraday Trading Activity Using Box-Cox-ACD Models