A multivariate latent factor decomposition of international bond yield spreads
Mardi Dungey (),
Vance Martin and
Adrian Pagan ()
Journal of Applied Econometrics, 2000, vol. 15, issue 6, 697-715
A factor analysis of long-term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH-type specifications as well as exhibiting serial dependence. An indirect estimator is used to compute estimates of the unknown parameters. The sampling performance of this estimator is investigated and compared with an alternative direct estimator based on the Kalman predictor. The factor model is applied to weekly data on long-bond spreads between five countries - Australia, Japan, Germany, Canada and the UK - and the USA over the period 1991 to 1999. The resulting factor decomposition is used to examine the international investor's optimal portfolio decision in a mean-variance framework. Copyright © 2000 John Wiley & Sons, Ltd.
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (72) Track citations by RSS feed
Downloads: (external link)
http://qed.econ.queensu.ca:80/jae/2000-v15.6/ Supporting data files and programs (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:jae:japmet:v:15:y:2000:i:6:p:697-715
Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252
Access Statistics for this article
Journal of Applied Econometrics is currently edited by M. Hashem Pesaran
More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Wiley-Blackwell Digital Licensing ().