Multifactor Affine Term Structure with Macroeconomic Factors
(2016) NEKP03 20161Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8881491
- author
- Xiangyu, Kaixin LU and Wang, Hao LU
- supervisor
- organization
- course
- NEKP03 20161
- year
- 2016
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Multifactor Affine Term Structure with Macroeconomic Factors}}, year = {{2016}}, }