A term structure model under cyclical fluctuations in interest rates

We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the rela- tionship between short-term and long-term rates. Our model can reproduce...

Descripción completa

Detalles Bibliográficos
Autores: Moreno, Manuel, Novales Cinca, Alfonso Santiago, Platania, Federico
Tipo de recurso: informe técnico
Fecha de publicación:2019
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/17526
Acceso en línea:https://hdl.handle.net/20.500.14352/17526
Access Level:acceso abierto
Palabra clave:D53
E43
G13
C58
E32
C31
Term structure of interest rates
cyclical fluctuations
bond pricing
TSIR fitting performance
interest rates forecast.
Dinero
Econometría (Economía)
Mercados bursátiles y financieros
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
id ES_9ef50daa63fea857c0fcd92500ced9be
oai_identifier_str oai:docta.ucm.es:20.500.14352/17526
network_acronym_str ES
network_name_str España
repository_id_str
spelling A term structure model under cyclical fluctuations in interest ratesMoreno, ManuelNovales Cinca, Alfonso SantiagoPlatania, FedericoD53E43G13C58E32C31Term structure of interest ratescyclical fluctuationsbond pricingTSIR fitting performanceinterest rates forecast.DineroEconometría (Economía)Mercados bursátiles y financieros5304.06 Dinero y Operaciones Bancarias5302 EconometríaWe propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the rela- tionship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy in- terventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)Universidad Complutense de Madrid20192019-01-0120192019-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/17526reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial-CompartirIgual 3.0 Españahttps://creativecommons.org/licenses/by-nc-sa/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/175262026-06-02T12:44:21Z
dc.title.none.fl_str_mv A term structure model under cyclical fluctuations in interest rates
title A term structure model under cyclical fluctuations in interest rates
spellingShingle A term structure model under cyclical fluctuations in interest rates
Moreno, Manuel
D53
E43
G13
C58
E32
C31
Term structure of interest rates
cyclical fluctuations
bond pricing
TSIR fitting performance
interest rates forecast.
Dinero
Econometría (Economía)
Mercados bursátiles y financieros
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
title_short A term structure model under cyclical fluctuations in interest rates
title_full A term structure model under cyclical fluctuations in interest rates
title_fullStr A term structure model under cyclical fluctuations in interest rates
title_full_unstemmed A term structure model under cyclical fluctuations in interest rates
title_sort A term structure model under cyclical fluctuations in interest rates
dc.creator.none.fl_str_mv Moreno, Manuel
Novales Cinca, Alfonso Santiago
Platania, Federico
author Moreno, Manuel
author_facet Moreno, Manuel
Novales Cinca, Alfonso Santiago
Platania, Federico
author_role author
author2 Novales Cinca, Alfonso Santiago
Platania, Federico
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv D53
E43
G13
C58
E32
C31
Term structure of interest rates
cyclical fluctuations
bond pricing
TSIR fitting performance
interest rates forecast.
Dinero
Econometría (Economía)
Mercados bursátiles y financieros
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
topic D53
E43
G13
C58
E32
C31
Term structure of interest rates
cyclical fluctuations
bond pricing
TSIR fitting performance
interest rates forecast.
Dinero
Econometría (Economía)
Mercados bursátiles y financieros
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
description We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the rela- tionship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy in- terventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.
publishDate 2019
dc.date.none.fl_str_mv 2019
2019-01-01
2019
2019-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/17526
url https://hdl.handle.net/20.500.14352/17526
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-CompartirIgual 3.0 España
https://creativecommons.org/licenses/by-nc-sa/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
publisher.none.fl_str_mv Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869414869713813504
score 15,812455

Similares en LA Referencia