Earticle

초록

영어

This paper propose a new short-term interest rate model having a different nonlinear drift function and the same diffusion coefficient with Chan, Karolyi, Longstaff, and Sanders (1992) model. The fractional polynomial power of the drift function in our model is linked to the local volatility elasticity of the diffusion coefficient. While the nonlinear drift function estimated by A¨ıt-Sahalia (1996a) and others has a feature that higher interest rates tend to revert downward and low rates upward, the drift function estimated by our nonlinear model shows that higher interest rate mean-reverts strongly, but, medium rates has almost zero drift and low rates has a very small drift. This characteristic coincides the empirical result based on the nonparametric methodology by Stanton (1997) and the implication by the scatter plot of the short rate data. Furthermore, if our model is transformed to make the diffusion process have a constant term, the drift term in our model is very similar to that in A¨ıt-Sahalia model. In the viewpoint of data, while his model is applied to the original interest rate data, our model is applied to the transformed data.

목차

Abstract
 1. Introduction
 2. One factor interest rate models
 3. Empirical analysis
 4. Conclusion
 References

키워드

저자

• YOUNGSOO CHOI [ Department of Mathematics, Hankuk University of Foreign Studies ]
• YOONDONG LEE [ Department of Statistics at Konkuk University, Seoul, KOREA. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330