EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/19634
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorLemke, Wolfgangen_US
dc.contributor.authorArchontakis, Theofanisen_US
dc.date.accessioned2009-01-28T16:01:37Z-
dc.date.available2009-01-28T16:01:37Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/19634-
dc.description.abstractUsing a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case that the short-term interest rate follows a threshold process with the intercept switching endogenously. The yield functions, mapping the one-month rate into n-period yields, respectively. This is in contrast to linear short-rate process which imply an affine yield function. The intervals for which convexity or concavity prevails increase with time to maturity.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,06en_US
dc.subject.jelC63en_US
dc.subject.jelG12en_US
dc.subject.jelE43en_US
dc.subject.ddc330en_US
dc.subject.keywordThreshold processen_US
dc.subject.keywordterm structure of interest ratesen_US
dc.subject.keywordnonlinear yield functionen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwArbitrage Pricingen_US
dc.subject.stwZinsen_US
dc.subject.stwWertpapieranalyseen_US
dc.subject.stwTheorieen_US
dc.titleBond pricing when the short term interest rate follows a threshold processen_US
dc.typeWorking Paperen_US
dc.identifier.ppn510392393en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:4243-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
200606dkp.pdf364.82 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.