Term Structure Models with Parallel and Proportional Shifts

Monetary Policy Shifts and the Term Structure∗

We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor (1993) rule where the coefficients on inflation and output can vary over time. We find that monetary policy loadings on inflation, but not output, changed substantially over the last 50 years. Agents tend to assign a risk disco...

Term Structure of Interest Rates with Regime Shifts

We develop a term structure model where the underlying short term interest rate and the market price of risk are modeled as square-root processes which are subject to discrete regime shifts. Our model captures the idea that the aggregate economy is subject to risks from discrete and persistent changes in the business cycle. We provide a solution for the nominal default-free yield curve in this ...

The cost and income efficiency models with MOLP structure

In this paper, the cost and income efficiency models have been considered with regard to the multiple objective programming structures. For finding the efficient points in purposed MOLP problem, some various methods like Lexicography & the weighted sum can be used. So by introducing the MOLP problem the cost & income efficiencies will be achieved. In the present study, the MOLP problem is conve...

Appendix for Monetary Policy Shifts and the Term Structure

Binomial Term Structure Models

T he term structure models discussed in our previous article (“Term Structure of Interest Rates,” MiER Vol. 7, No. 3) such as the [Vasicek 1978] or the [CoxIngersoll-Ross 1985] model may not match the current term structure. The Black-Derman-Toy (BDT) and BlackKarasinksi models discussed in this article are important examples of models in which the current term structure can always be replicated.