Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43260 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorOu, Yangguoyien
dc.date.accessioned2009-08-06-
dc.date.accessioned2010-12-15T09:22:44Z-
dc.date.available2010-12-15T09:22:44Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:hebis:30-63749en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2009/03en
dc.subject.jelC5en
dc.subject.jelE4en
dc.subject.jelG1en
dc.subject.ddc330en
dc.subject.keywordTerm Structure Modellingen
dc.subject.keywordYield Curve Risken
dc.subject.keywordStochastic Volatilityen
dc.subject.keywordFactor Modelsen
dc.subject.keywordMacroeconomic Fundamentalsen
dc.subject.stwZinsrisikoen
dc.subject.stwZinsstrukturen
dc.subject.stwVolatilitäten
dc.subject.stwÖffentliche Anleiheen
dc.subject.stwMakroökonomischer Einflussen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleAnalyzing interest rate risk: Stochastic volatility in the term structure of government bond yields-
dc.typeWorking Paperen
dc.identifier.ppn606211624en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200903en

Files in This Item:
File
Size
540.96 kB





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