A general model for short-term interest rates

被引：4

作者：

Chung, CF ^{[1
]}

Hung, MW ^{[1
]}

机构：

[1] Acad Sinica, Inst Econ, Taipei 115, Taiwan

来源：

APPLIED ECONOMICS | 2000年 / 32卷 / 02期

关键词：

D O I：

10.1080/000368400322813

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A general one-factor model for short-term interest rates is proposed. Besides the long memory fractionally integrated mean process, the model also consists of a power function: of the interest rate as well as the GARCH effect in the conditional variance. The estimation results show that, while there is no evidence for fractional integration in the mean beyond the well-known martingale property, both the power function of the interest rate: and the GARCH effect (but not the ARCH effect) are highly significant in-the formation of the conditional variance. Test results also confirm a structure change in October 1979 due to the shift in the Federal Reserve monetary policy.

引用

页码：111 / 121

页数：11

共 31 条

[1] NONCENTRAL LIMIT-THEOREMS AND APPELL POLYNOMIALS [J].