کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958555 | 1478842 | 2013 | 18 صفحه PDF | دانلود رایگان |
• We derive arbitrage free models with linear zero-coupon bond prices.
• Hidden Markov chains are key tools.
• Finite dimensional dependence term structures are proposed.
• Zero lower bound problems are considered.
We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the investor. These hidden regimes are represented by a Markov chain, which features either an exogenous, or an endogenous dynamics. We illustrate the possible term structure patterns, their evolutions, in particular their ability to stay close to a zero lower bound.
Journal: Journal of Empirical Finance - Volume 24, December 2013, Pages 24–41