An Arbitrage Free Three Factor Term Structure Model And The Recent Behavior Of Long Term Yields And Distant Horizon Forward Rates
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An Arbitrage-free Three-factor Term Structure Model and the Recent Behavior of Long-term Yields and Distant-horizon Forward Rates
Author | : Don H. Kim |
Publisher | : |
Total Pages | : 0 |
Release | : 2005 |
Genre | : |
ISBN | : |
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"This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reports results obtained from fitting this model to U.S. Treasury yields since 1990. The model ascribes a large portion of the decline in long-term yields and distant-horizon forward rates since the middle of 2004 to a fall in term premiums. A variant of the model that incorporates inflation data indicates that about two-thirds of the decline in nominal term premiums owes to a fall in real term premiums, but estimated compensation for inflation risk has diminished as well.
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