期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2000
出版社：European Central Bank
摘要：This paper proposes the use of the two-factor term-structure model of Longstaff and Schwartz (1992a, LS) to estimate the risk-neutral density( RND) of the future shortterm interest rate. The resulting RND can be interpreted as the market’s estimate of the densityof the future short-term interest rate. As such, it provides a useful financial indicator of the perceived uncertaintyof future developments in the shortterm interest rate. The LS approach used in this paper provides an alternative to option-based estimation procedures, which mayb e useful in situations where options markets are not sufficientlyd eveloped to allow estimation of the implied distribution from observed option prices. A simulation-based comparison of these two approaches reveals that the differences in the results are relativelysmal l in magnitude, at least for short forecast horizons. Furthermore, the LS model is quite successful in capturing the asymmetries of the true distribution. It is therefore concluded that the LS model can be useful for estimating the distribution of future interest rates, when the purpose is to provide a general measure of the market’s perceived uncertainty, for example as an indictor for monetarypol icy purposesmon
