期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2015
期号：11
页码：8-45
DOI：10.5605/IEB.11.1
出版社：Instituto de Estudios Bursátiles
摘要：In this paper we calibrate the term structure of interest rates of German covered bonds and explain its dynamics in a similar set up to Jakas (2011, 2012). However, two ap- proaches to the affine model are employed here: (i) including and (ii) disregarding the no-arbitrage condition. Similar to Jakas (2011, 2012) the stochastic discount fac- tor (SDF) accounts for such macroeconomic factors as consumer expectations, un- employment rate, inflation rate and money supply. When including no-arbitrage, the yield curves are calibra ted using a discrete time affine multifactor term structure model. Interestingly, when the no-arbitrage condition is disregarded, coefficients can take both positive and negative values along the yield curve, something that does not occur with an affine no-arbitrage model. Overall, the empirical findings in this study confirm the observations in the macrofinance literature, suggesting that macroeco- nomic factors have a strong explanatory power in the movements of the term structure of interest rates. We also find that the influence of macroeconomic variables is more pronounced at the front end rather than on longer maturities.
关键词：Macroeconomic releases; Term structure of interest rates; Dynamic factors; Affine ; term structure models.
