Fuzzy Differences in Differences

Clément de Chaisemartin

No 2010-08, Working Papers from Center for Research in Economics and Statistics

Abstract: A large part of the term structure literature interprets one of the under-lying factors as a level factor. In this paper we consider a single factor modelinterpretable as a level factor model. We prove that this model is compat-ible with no-arbitrage restrictions and the positivity of rates under ratherunrealistic conditions on the dynamic of the short term interest rate. Thisintroduces some doubt on the relevance of the level interpretation of a factorin term structure models.

Date: 2010
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Working Paper: Fuzzy Differences-in-Differences
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