Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185950
Authors: 
Söderlind, Paul
Year of Publication: 
2010
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 146 [Year:] 2010 [Issue:] 1 [Pages:] 385-404
Abstract: 
An affine yield curve model is estimated on daily Swiss data 2002–2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data. The results indicate that a surprise increase in the policy rate gives a reasonably sized decrease (-0.25%) in term premia for longer maturities.
Subjects: 
Affine price of risk
interest rate caps
survey data
JEL: 
E27
E47
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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