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An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates
| Content Provider | Library of Congress - Books/Printed Material |
|---|---|
| Author | Kim, Don. Wright, Jonathan H. |
| Temporal Coverage | 2005 |
| Abstract | "This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reports results obtained from fitting this model to U.S. Treasury yields since 1990. The model ascribes a large portion of the decline in long-term yields and distant-horizon forward rates since the middle of 2004 to a fall in term premiums. A variant of the model that incorporates inflation data indicates that about two-thirds of the decline in nominal term premiums owes to a fall in real term premiums, but estimated compensation for inflation risk has diminished as well"--Federal Reserve Board web site. |
| Language | English |
| Publisher | Federal Reserve Board, |
| Publisher Place | Washington, D.C. |
| Part of Series | Catalog |
| Requires | HTML5 supported browser |
| Access Restriction | Open |
| Subject Keyword | Arbitrage-free Pricing Forward Rates Term Premiums Term-structure Model |
| Subject Domain (in LCSH) | Forward rates; |
| Subject Domain (in LCSH) | term-structure model; |
| Subject Domain (in LCSH) | arbitrage-free pricing; |
| Subject Domain (in LCSH) | term premiums |
| Subject Domain (in LCC) | HG1 |
| Content Type | Text |
| Resource Type | Book |
