Adrian, Tobias
[Verfasser:in]
;
Crump, Richard K.
[Sonstige Person, Familie und Körperschaft];
Moench, Emanuel
[Sonstige Person, Familie und Körperschaft]
Pricing the Term Structure with Linear Regressions
Erschienen in:FRB of New York Staff Report ; No. 340
Umfang:
1 Online-Ressource (68 p)
Sprache:
Nicht zu entscheiden
DOI:
10.2139/ssrn.1362586
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 11, 2013 erstellt
Beschreibung:
We show how to price the time series and cross-section of the term structure of interest rates using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring a model using five principal components of yields as factors. We demonstrate that this model outperforms the Cochrane and Piazzesi (2008) four-factor specification in out-of-sample exercises but generates similar in-sample term premium dynamics. Our regression approach can also incorporate unspanned factors and allows estimation of term structure models without observing a zero-coupon yield curve