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
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Drift and diffusion function specification for short-term interest rates
چکیده انگلیسی
Various stochastic differential equation models for short rates (rt) have been proposed, where the change (Δrt=rt−rt−1) is modeled as a sum of drift and diffusion terms depending on rt−1. 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 rt−1 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 rt−2 (and rt−3). Third, foreign rates exert substantial effects.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 86, Issue 3, March 2005, Pages 339-346
نویسندگان
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