학술저널
Co-movements of International Term Structure Slopes and Affine Term Structure Models
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 24 No.3
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2011.09389 - 426 (37 pages)
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This present paper provides both theoretical and empirical analyses of multi-factor joint affine term structure models (JATSMs) in explaining the co-movements of international term structure slopes. We extend the single-country affine term structure models of Dai and Singleton (2000) to a two-country setup. Using the efficient method of moments and reprojection analysis, we find that a JATSM with two square-root factors and one Gaussian factor performs best in capturing the correlation between the US and the UK term structure slopes.
Abstract
Ⅰ. Introduction
Ⅱ. Theoretical Models
Ⅲ. Data and Estimation Method
Ⅳ. Estimation Results
Ⅴ. Conclusion
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