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Co-movements of International Term Structure Slopes and Affine Term Structure Models

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Authors

Doh, Won Tark; Baek, In Seok

Issue Date
2011-07
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.24 No.3, pp. 389-426
Keywords
Affine term structure modelsInternational term structure modelsCorrelations among international term structure slopesEfficient method of momentsReprojection method
Abstract
This present paper provides both theoretical and empirical analyses

of multi-factor joint affine term structure models (JATSMs) in explaining

the co-movements of international term structure slopes.

We extend the single-country affine term structure models of Dai

and Singleton (2000) to a two-country setup. Using the efficient

method of moments and reprojection analysis, we find that a JATSM

with two square-root factors and one Gaussian factor performs best

in capturing the correlation between the US and the UK term structure

slopes.
ISSN
1225-0279
Language
English
URI
https://hdl.handle.net/10371/74500
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