Estimating the dynamics of interest rates in the Japanese economy

Nowman, K.B. and Ñíguez, T.M. 2007. Estimating the dynamics of interest rates in the Japanese economy. Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics. Paris, France. Mar 2007

TitleEstimating the dynamics of interest rates in the Japanese economy
AuthorsNowman, K.B. and Ñíguez, T.M.
TypeConference paper
Abstract

This paper analyses the performance of the Yu and Phillips (2001) estimation method for the case of the Japanese economy. This new parametric technique is based on the Dambis, Durbin-Schwarz theorem to extract an exact Gaussian discrete model of a continuous-time diffusion process for the interest rate. We use the new approach together with Nowman's (1997) method to estimate different specifications for a varied data set, including interbank and T-bill rates with different maturities and frequencies. Our results show that the Yu-Phillips procedure provides estimates in line with their Monte Carlo results in most of the cases.

KeywordsConditional volatility, continuous time diffusion, interest rates, Monte Carlo experiment, quasi-maximum likelihood
Year2007
ConferenceFifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics
Publication dates
Completed2007

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Nowman, K.B. 2002. Interest rate models in risk management: results for US treasury yields. in: Batten, J. and Fetherston, T.A. (ed.) Financial risk and financial risk management Amsterdam, Netherlands JAI Press.

Modelling commodity prices using continuous time models
Nowman, K.B. and Wang, H. 2001. Modelling commodity prices using continuous time models. Applied Economics Letters. 8 (5), pp. 341-345. https://doi.org/10.1080/135048501750157602

Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
Nowman, K.B. 2001. Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom. Asia-Pacific Financial Markets. 8 (1), pp. 23-34. https://doi.org/10.1023/A:1011436907037

Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market
Nath, P. and Nowman, K.B. 2001. Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market. Applied Economics Letters. 8 (2), pp. 85-88. https://doi.org/10.1080/13504850150204110

An international comparison of pricing callable and puttable bonds in interbank financial markets
Nowman, K.B. and Sorwar, G. 2001. An international comparison of pricing callable and puttable bonds in interbank financial markets. Managerial Finance. 27 (1/2), pp. 99-110.

Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia-Pacific financial markets
Byers, S.L. and Nowman, K.B. 2001. Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia-Pacific financial markets. Managerial Finance. 27 (1/2), pp. 40-61.

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