A Semi-Parametric Factor Model for Interest Rates

Eric Ghysels (eghysels@unc.edu) and Serena Ng (serena.ng@columbia.edu)

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi- parametric procedure to model interest rates.

Keywords: INTEREST RATE; FINANCIAL MARKET; INTERNATIONAL FINANCE; MODELS (search for similar items in EconPapers)
JEL-codes: C22 C32 E40 E43 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1996
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: A Semi-Parametric Factor Model for Interest Rates (1996)
Working Paper: A Semi-Parametric Factor Model for Interest Rates (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:9612

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