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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Lemke, Wolfgang | | en_US |
| dc.contributor.author | | Archontakis, Theofanis | | en_US |
| dc.date.accessioned | | 2009-01-28T16:01:37Z | | - |
| dc.date.available | | 2009-01-28T16:01:37Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/19634 | | - |
| dc.description.abstract | | Using 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.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,06 | | en_US |
| dc.subject.jel | | C63 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Threshold process | | en_US |
| dc.subject.keyword | | term structure of interest rates | | en_US |
| dc.subject.keyword | | nonlinear yield function | | en_US |
| dc.subject.stw | | Zinsstruktur | | en_US |
| dc.subject.stw | | Arbitrage Pricing | | en_US |
| dc.subject.stw | | Zins | | en_US |
| dc.subject.stw | | Wertpapieranalyse | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Bond pricing when the short term interest rate follows a threshold process | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 510392393 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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