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Co-movements of International Term Structure Slopes and Affine Term Structure Models
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- Authors
- Issue Date
- 2011-07
- Citation
- Seoul Journal of Economics, Vol.24 No.3, pp. 389-426
- Keywords
- Affine term structure models ; International term structure models ; Correlations among international term structure slopes ; Efficient method of moments ; Reprojection 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
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