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Term Premia and Interest Rate Forecasts in Affine Models
Open accessAbstract
The standard class of affine models produces poor forecasts of future Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: Compensation for risk is a multiple of the variance of the risk. Thus risk compensation cannot vary independently of interest rate volatility. I also describe a broader class of models. These aessentially affine‐ models retain the tractability of standard models, but allow compensation for interest rate risk to vary independently of interest rate volatility. This additional flexibility proves useful in forecasting future yields.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
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Measuring the macroeconomic impact of monetary policy at the zero lower bound
WU, J. C., & XIA, F. D. (2016) · Journal of Money, Credit and Banking · doi:10.1111/jmcb.12300 · Cited by 1,842
Term structure models and the zero bound: An empirical investigation of Japanese yields
Kim, D. H., & Singleton, K. J. (2012) · Journal of Econometrics · doi:10.1016/j.jeconom.2011.12.005 · Cited by 281
No-arbitrage conditions for storable commodities and the modeling of futures term structures
Liu, P. (., & Tang, K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2010.03.013 · Cited by 28
Metadata
- Authors
- Duffee, G. R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2002-02
- Volume
- 57
- Issue
- 1
- Pages
- 405-443
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2159723913
- Cited by
- 1,577
- References
- 1
- FWCI
- 84.70
- Type
- journal article
- Language
- en
- Open access
- bronze
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