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Fuzzy Differences in Differences

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  • Clément de CHAISEMARTIN

    (Crest)

Abstract

A large part of the term structure literature interprets one of the under-lying factors as a level factor. In this paper we consider a single factor modelinterpretable as a level factor model. We prove that this model is compat-ible with no-arbitrage restrictions and the positivity of rates under ratherunrealistic conditions on the dynamic of the short term interest rate. Thisintroduces some doubt on the relevance of the level interpretation of a factorin term structure models.

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Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2010-08.

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Date of creation: 2010
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Handle: RePEc:crs:wpaper:2010-08

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