کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9549254 | 1371881 | 2005 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Drift and diffusion function specification for short-term interest rates
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Various stochastic differential equation models for short rates (rt) have been proposed, where the change (Îrt=rtârtâ1) is modeled as a sum of drift and diffusion terms depending on rtâ1. These models, however, have some shortcomings. First, the same model may not apply to all countries. Second, the drift and diffusion may depend not only on rtâ1 but also on further lags. Third, not just the own lagged rates, but also other countries' rates may matter. These questions are empirically analyzed for six major countries with the following findings. First, there are considerable differences in drift and diffusion across the countries. Second, the drift and diffusion often depend on rtâ2 (and rtâ3). Third, foreign rates exert substantial effects.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 86, Issue 3, March 2005, Pages 339-346
Journal: Economics Letters - Volume 86, Issue 3, March 2005, Pages 339-346
نویسندگان
Myoung-jae Lee, Wen-juan Li,