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dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorOu, Yangguoyien_US
dc.date.accessioned2009-08-06en_US
dc.date.accessioned2010-12-15T09:22:44Z-
dc.date.available2010-12-15T09:22:44Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:hebis:30-63749-
dc.identifier.urihttp://hdl.handle.net/10419/43260-
dc.description.abstractWe propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying uncertainty of the yield curve's level, slope and curvature. Estimating the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the factor volatilities follow highly persistent processes. We show that slope and curvature risk have explanatory power for bond excess returns and illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary policy and employment growth.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2009/03en_US
dc.subject.jelC5en_US
dc.subject.jelE4en_US
dc.subject.jelG1en_US
dc.subject.ddc330en_US
dc.subject.keywordTerm Structure Modellingen_US
dc.subject.keywordYield Curve Risken_US
dc.subject.keywordStochastic Volatilityen_US
dc.subject.keywordFactor Modelsen_US
dc.subject.keywordMacroeconomic Fundamentalsen_US
dc.subject.stwZinsrisikoen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwÖffentliche Anleiheen_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleAnalyzing interest rate risk: Stochastic volatility in the term structure of government bond yieldsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn606211624en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200903-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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