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A Two-Factor Model of the U.K. Yield Curve

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  • Steeley, James M

Abstract

The author models the forward premium in the U.K. gilt-edged market over the period 1982 to 1996 using a two-factor general equilibrium model of the term structure of interest rates. The model permits the decomposition of the forward premium into separate components representing interest rate expectations, the risk premia associated with each of the underlying factors, and terms capturing the direct impact of the variances of the factors on the shape of the forward curve. Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Bibliographic Info

Article provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 65 (1997)
Issue (Month): 0 (Supplement)
Pages: 32-58

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Handle: RePEc:bla:manch2:v:65:y:1997:i:0:p:32-58

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Cited by:
  1. Martin Evans, 2002. "Real Risk, Inflation Risk, and the Term Structure," Working Papers gueconwpa~02-02-10, Georgetown University, Department of Economics.
  2. Giovanni Caggiano & Leone Leonida, . "A note on the empirics of the neoclassical growth model," Working Papers 2006_2, Business School - Economics, University of Glasgow.
  3. Somnath Chatterjee, 2005. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany," Working Papers 2005_2, Business School - Economics, University of Glasgow.
  4. Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.

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