Foreign transfers and tropical deforestation: what terms of conditionality

Daan van Soest and Robert Lensink

No 97C26, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.

Date: 1997
References: Add references at CitEc
Citations:

Downloads: (external link)
http://irs.ub.rug.nl/ppn/161614566 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://irs.ub.rug.nl/ppn/161614566 [302 Found]--> https://irs.ub.rug.nl/ppn/161614566 [302 Found]--> https://www.rug.nl/research/portal/publications/pub(50738ea7-5acd-4559-bf3a-6f5c1e5cef83).html [301 Moved Permanently]--> https://research.rug.nl/en/publications/pub(50738ea7-5acd-4559-bf3a-6f5c1e5cef83).html)

Related works:
Journal Article: Foreign Transfers and Tropical Deforestation: What Terms of Conditionality? (2000)
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:gro:rugsom:97c26

Access Statistics for this paper

More papers in Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management) Contact information at EDIRC.
Bibliographic data for series maintained by Hanneke Tamling ().