Mean reversion in US and international short rates

被引：8

作者：

Christiansen, Charlotte ^{[1
]}

机构：

[1] Aarhus Univ, Sch Econ & Management, CREATES, DK-8000 Aarhus C, Denmark

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2010年 / 21卷 / 03期

关键词：

Short term interest rate; Mean reversion; Extreme value; Nonlinearity; TERM INTEREST-RATE; CONTINUOUS-TIME MODELS;

D O I：

10.1016/j.najef.2009.08.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We extend the CKLS one factor short rate model to include nonlinear mean reversion in a new way. We allow for extreme value mean reversion by including the smallest short rate during the previous year in the mean equation. The US short rate is found to exhibit extreme value mean reversion. The evidence of mean reversion varies across the short rates in the US and five other major markets (Canada, Germany, Japan, Switzerland, and the UK). (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：286 / 296

页数：11

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