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Title
Is Nonlinear Drift Implied by the Short-End of the Term Structure?
Creator
Creator Name
Takamizawa, Hideyuki Takamizawa, Hideyuki
高見澤, 秀幸 高見澤, 秀幸
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Short-Rate
Nonlinear Drift
Term Structure
Linear Approximation
Abstract (distribution restricted)
Nonlinear drift models of the short-rate are estimated using data on the short-end of the term structure, where the cross-sectional relation is obtained by an analytical approximation. We find that (i) nonlinear physical drift is not implied unless it is strongly affected by cross-sectional dimensions of the data; (ii) nonlinear risk-neutral drift that allows for fast mean-reversion for high rates is desirable to explain and predict observed patterns of yield spreads; and (iii) for higher-frequency data from which transitory shocks are removed, (ii) still remains valid although the nonlinearity is somewhat reduced.
Description
November 22, 2006
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2006-11
Language
英語(eng)
Resource Type
technical report（テクニカルレポート）
Version Type
VoR
Relation - Is Part Of
Related Title
Discussion papers ; No. 2006-08
Number of Pages
42
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/16926