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Multifactor Affine Term Structure with Macroeconomic Factors

Xiangyu, Kaixin LU and Wang, Hao LU (2016) NEKP03 20161
Department of Economics
Abstract
We present a multifactor model of the affine term structure of interest rates with dynamics of macroeconomic factors following the diffusion process in the Vasicek model. Using observable series, we investigate the goodness of fit of the model and the impact of the variables on bond yields. We describe in detail the derivation of the model and the numerical techniques for estimating it. We find that the model achieves a stronger fitness for bonds of 3-month, 6-month and 1-year maturities during and post financial crisis and the inclusion of all selected macroeconomic variables enables a better-performing model.
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author
Xiangyu, Kaixin LU and Wang, Hao LU
supervisor
organization
course
NEKP03 20161
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Affine Term Structure, Bond Yields, Term Structure Models, Macroeconomics
language
English
id
8881491
date added to LUP
2016-06-16 15:04:08
date last changed
2016-06-16 15:04:08
@misc{8881491,
  abstract     = {We present a multifactor model of the affine term structure of interest rates with dynamics of macroeconomic factors following the diffusion process in the Vasicek model. Using observable series, we investigate the goodness of fit of the model and the impact of the variables on bond yields. We describe in detail the derivation of the model and the numerical techniques for estimating it. We find that the model achieves a stronger fitness for bonds of 3-month, 6-month and 1-year maturities during and post financial crisis and the inclusion of all selected macroeconomic variables enables a better-performing model.},
  author       = {Xiangyu, Kaixin and Wang, Hao},
  keyword      = {Affine Term Structure,Bond Yields,Term Structure Models,Macroeconomics},
  language     = {eng},
  note         = {Student Paper},
  title        = {Multifactor Affine Term Structure with Macroeconomic Factors},
  year         = {2016},
}