Term structure estimation with survey data on interest rate forecasts
By: Don H. Kim and Athanasios Orphanides.
Series: Finance and economics discussion series ;; 2005-48; Finance and economics discussion series (Online) ;; 2005-48.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates.  We propose using survey forecasts of a short-term interest rate as additional input to the estimation to overcome the problem.  The three-factor pure-Gaussian model thus estimated with the U.S.  Treasury term structure for the 1990-2003 period generates a stable estimate of the expected path of the short rate, reproduces the well-known stylized patterns in the expectations hypothesis tests, and captures some of the short-run variations in the survey forecast of the changes in longer-term interest rates"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 10/28/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.