Topic
Short rate
About: Short rate is a research topic. Over the lifetime, 628 publications have been published within this topic receiving 23655 citations.
Papers published on a yearly basis
Papers
TL;DR: In this article, the authors compare a variety of continuous-time models of the short-term riskless rate using the Generalized Method of Moments and find that the most successful models are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rates.
Abstract: We estimate and compare a variety of continuous-time models of the short-term riskless rate using the Generalized Method of Moments. We find that the most successful models in capturing the dynamics of the short-term interest rate are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rate. A number of well-known models perform poorly in the comparisons because of their implicit restrictions on term structure volatility. We show that these results have important implications for the use of different term structure models in valuing interest rate contingent claims and in hedging interest rate risk.
1,985 citations
TL;DR: In this paper, a generalized regime-switching (GRS) model of the short-term interest rate is proposed, which allows the short rate to exhibit both mean reversion and conditional heteroskedasticity.
1,748 citations
Book•
12 May 2009
TL;DR: In this paper, the authors define basic definitions and no arbitrage, from Short Rate Models to HJM, and market models, and the Volatility Smile, and examples of market payoffs.
Abstract: I Basic Definitions and No Arbitrage- II From Short Rate Models to HJM- III Market Models- IV The Volatility Smile- V Examples of Market Payoffs- VI Inflation- VII Credit- VIII Appendices
1,624 citations
Posted Content•
TL;DR: In this article, the authors examined whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate.
Abstract: We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. We use this model imposing a constant risk premium to examine the finite sample evidence on predictability. Not only do we find the short rate to be a relevant state variable theoretically, it is also the only robust short-run predictor of equity returns. The evidence in Lamont (1998) on earnings and dividend yield predictability is not robust to our increased sample period, does not survive finite sample corrections and does not extend to other countries. We find no evidence of long-horizon predictability once we account for finite sample influence. Finally, cross-country predictability appears stronger than predictability using local instruments.
1,195 citations
TL;DR: In this article, the authors analyzed the term structure of interest rates during the monetary experiment of October 1979 and concluded that the expectation hypothesis holds up fairly well for these data, once the recognition by bond traders of changes in regime is taken into account.
1,084 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2024 | 2 |
| 2023 | 4 |
| 2022 | 11 |
| 2021 | 13 |
| 2020 | 31 |
| 2019 | 13 |