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Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process

[Zeitschriftenartikel]

Lemke, Wolfgang
Archontakis, Theofanis

Abstract

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 ... mehr

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.... weniger

Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen

Methode
Theorieanwendung

Freie Schlagwörter
Bond pricing; Term structure of interest rates; Threshold models

Sprache Dokument
Englisch

Publikationsjahr
2008

Seitenangabe
S. 811-822

Zeitschriftentitel
Quantitative Finance, 8 (2008) 8

DOI
https://doi.org/10.1080/14697680701691451

Status
Postprint; begutachtet (peer reviewed)

Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.