A general equilibrium framework for the affine class of term structure models
João Pedro Vidal Nunes ()
Additional contact information
João Pedro Vidal Nunes: CEMAF/ISCTE
Portuguese Economic Journal, 2004, vol. 3, issue 1, No 2, 15-48
Abstract:
Abstract. The Duffie and Kan (1966) model, which can be considered as the most general affine term structure formulation, was originally specified in terms of risk-adjusted stochastic processes for its state variables. The goal of the present paper is to derive a Duffie and Kan (1966) model’ specification under the physical probability measure that is compatible with the formulation given by the authors under the equivalent martingale (“money market account”) measure. For that purpose, the Duffie and Kan (1966) model will be fitted into a general equilibrium monetary framework. The resulting analytical solution for the vector of factor’ risk premiums enables the econometric estimation of the model’ parameters using a “time-series” or a “panel-data” approach, and nests, as special cases, several other specifications already proposed in the literature.
Keywords: Affine term structure models; Change of measure; Feynman-Kač solution; Cash-in-advance models; Power utility; Log utility (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations:
Downloads: (external link)
http://link.springer.com/10.1007/s10258-004-0027-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:portec:v:3:y:2004:i:1:d:10.1007_s10258-004-0027-x
Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10258/PS2
DOI: 10.1007/s10258-004-0027-x
Access Statistics for this article
Portuguese Economic Journal is currently edited by Luís F. Costa
More articles in Portuguese Economic Journal from Springer, Instituto Superior de Economia e Gestao
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().