1,721,116 research outputs found
Un modello multifattoriale e una tecnica di stima multivariata per l'analisi della struttura a termine dei tassi di interesse
No full textEstimating the Cox, Ingersoll and Ross model of the term structure: a multivariate approach
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Term Structure, Inflation, and Real Activity
Full text linkThis paper presents and estimates an internally consistent struc-
tural model which imposes cross-sectional restrictions on the dynamics of the term structure of interest rates, inflation and output growth. Distinct from previous term structure settings, this model introduces both time-varying central tendencies and a stochastic conditional mean of output growth. The estimation of the model, which is based on U.S. data over the 1960 to 2005 sample period, provides reliable estimates for the implicit term structures of real interest rates, expected inflation rates and inflation risk premia and for the expectations of macroeconomic variables. The model has better out-of-sample forecasting properties than a number of competitors and contradicts the puzzling evidence that during the “Great Moderation” in inflation subsequent to the mid-Eighties the forecasting ability of structural models has deteriorated with respect to atheoretic statistical models
L'approccio di equilibrio generale della struttura a termine dei tassi di interesse: una sintesi
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Inflation Risk Premia, Yield Volatility and Macro Factors
No full textThis paper presents and estimates an innovative term structure model where inflation expectations and inflation risk premia are strictly interconnected with both the time-varying volatility of interest rates and investors’ expectations of future GDP growth. The estimation of the model is based on U.S. data over the 1999 to 2012 sample period. Distinct from previous studies, the empirical work explicitly considers data on both the implied volatility of Treasury bonds and survey forecasts of GDP growth, as well as data on nominal Treasury yields, TIPS yields and survey forecasts of CPI inflation. The estimated inflation risk premia, which are relatively low and less volatile with respect to earlier empirical evidence, are negatively related to the volatility of interest rates and have a strongly positive link with the stochastic conditional mean of GDP growth
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