Structural macro factors and the affine term structure of interest rates

Détails

Ressource 1Télécharger: BIB_E73B0E6796CB.P001.pdf (2452.19 [Ko])
Etat: Supprimée
Version: Après imprimatur
ID Serval
serval:BIB_E73B0E6796CB
Type
Thèse: thèse de doctorat.
Collection
Publications
Titre
Structural macro factors and the affine term structure of interest rates
Auteur(s)
Vulkán L. N.
Directeur(s)
Jondeau E.
Codirecteur(s)
Rockinger M.
Détails de l'institution
Université de Lausanne, Faculté des hautes études commerciales
Adresse
Lausanne
Statut éditorial
Acceptée
Date de publication
2009
Langue
anglais
Nombre de pages
141
Notes
REROID:R005366752
Résumé
This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds.
1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains.
2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF.
3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.
Création de la notice
01/02/2010 12:50
Dernière modification de la notice
20/08/2019 17:10
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