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| Author: | Chapman, D. A. Pearson, N. D. |
| Title: | Recent Advances in Estimating Term-Structure Models |
| Journal: | Financial Analysts' Journal
2001 : JUL-AUG, VOL. 57:4, p. 77-95 |
| Index terms: | ESTIMATION ECONOMETRIC MODELS INTEREST RATES USA |
| Language: | eng |
| Abstract: | The subjects of this paper are econometric models and interest rates. The paper focuses on developments in estimating term-structure econometric models of interest rates in the United States. The authors provide highlight the fact that have been established and the key unresolved issues. The data indicate that within a wide range of interest rates, mean reversion in rates is, at best, weak. Whether mean reversion is stronger for very high or very low levels of rates is an unresolved issue. The absolute volatility of rates increases as the level of rates increases, but the strength of this effect and the role and nature of either stochastic-volatility or regime-switching components in rates are still unclear. |
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