标题：Are economic fundamentals unable to explain current european benchmark Yields? Empirical Evidence from a Continuous Time Affine Term Structure Model
期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2013
期号：6
页码：76-95
出版社：Instituto de Estudios Bursátiles
摘要：The results in this paper show that current European benchmark yields can beexplained, with a high degree of accuracy, by using an affine term structure (ATS) modelwith the following four state variables: (i) the EU unemployment rate, (ii) the EUproduction price index, (iii) the ECB monetary aggregate M3 index and, (iv) the EUconsumer confidence index. In fact, the present calculations accounts for the EONIArate from Dec 1999 to Jan 2011 remarkably well. Furthermore, German governmentbonds with maturities ranging from 3 month to 30 years are observed to be reproducedfairly well, too. Additionally, the predictive capability of the ATS model is also analysed.It is found that the parameters connecting bond-yields with state-variables do notchange with time so rapidly. As a consequence, the values that bond yields may havein the future can be calculated with an accuracy that solely depends on the precisionone may achieve in predicting the state variables. Finally, the results presented in thispaper show that current yield cur ve levels are satisfactorily explained by economicfundamentals, and cast a doubt on press headlines pointing the current yields tospeculative effects of market participants acting irrationally.
关键词：European Benchmark Yields; Affine Term Structure Model; Financial simulation.
