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Non-Negativity, Zero Lower Bound and Affine Interest Rate Models

Editor

Listed:
  • Monfort, Alain

Author

Listed:
  • Roussellet, Guillaume

Abstract

This thesis presents new developments in the literature of non-negative affine interest rate models. The first chapter is devoted to the introduction of the main mathematical tools used in the following chapters. In particular, it presents the so-called affine processes which are extensively employed in no-arbitrage interest rate models. Chapter 2 provides a new filtering and estimation method for linear-quadratic state-space models. This technique is exploited in the 3rd chapter to estimate a positive asset pricing model on the term structure of Euro area interbank spreads. This allows us to decompose the interbank risk into a default risk and a liquidity risk components. Chapter 4 proposes a new recursive method for building general multivariate affine processes from their univariate counterparts. In particular, our method does not impose the conditional independence between the different vector elements. We apply this technique in Chapter 5 to produce multivariate non-negative affine processes where some components can stay at zero for several periods. This process is exploited to build a term structure model consistent with the zero lower bound features.

Suggested Citation

  • Roussellet, Guillaume, 2015. "Non-Negativity, Zero Lower Bound and Affine Interest Rate Models," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/15295 edited by Monfort, Alain.
  • Handle: RePEc:dau:thesis:123456789/15295
    Note: dissertation
    as

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    File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/15295/2/2015PA090012.pdf
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    More about this item

    Keywords

    Modèle de taux d’intérêt positifs; Risque interbancaire; Filtre non-Linéaire; Processus affine; Taux au plancher; Positive affine term structure models; Non-Linear filtering; Interbank risk; Affine process; Zero lower bound;
    All these keywords.

    JEL classification:

    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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