Foreign transfers and tropical deforestation: what terms of conditionality
AbstractThe purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 97C26.
Date of creation: 1997
Date of revision:
Other versions of this item:
- Daan van Soest & Robert Lensink, 2000. "Foreign Transfers and Tropical Deforestation: What Terms of Conditionality?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 82(2), pages 389-399.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- R. Quentin Grafton & Frank Jotzo & Merrilyn Wasson, 2004.
"Financing Sustainable Development : Country Undertakings and Rights for Environmental Sustainability (CURES),"
Economics and Environment Network Working Papers
0403, Australian National University, Economics and Environment Network.
- Quentin Grafton, R. & Jotzo, Frank & Wasson, Merrilyn, 2004. "Financing sustainable development: Country Undertakings and Rights for Environmental Sustainability CURES," Ecological Economics, Elsevier, vol. 51(1-2), pages 65-78, November.
- Oliver Deke, 2004. "Financing National Protected Area Networks Internationally � The Global Environment Facility as a Multilateral Mechanism of Transfer," Kiel Working Papers 1227, Kiel Institute for the World Economy.
- Lafforgue, Gilles & Ollivier, HÃ©lÃ¨ne, 2011. "Optimal policies to preserve tropical forests," LERNA Working Papers 11.14.348, LERNA, University of Toulouse.
- Tim Swanson & Ben Groom, 2012.
"Regulating Global Biodiversity: What is the Problem?,"
2012.31, Fondazione Eni Enrico Mattei.
- Tim Swanson & Ben Groom, 2012. "Regulating global biodiversity: what is the problem?," Oxford Review of Economic Policy, Oxford University Press, vol. 28(1), pages 114-138, Spring.
- Helene Ollivier, 2012.
"Growth, deforestation and the efficiency of the REDD mechanism,"
UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers)
- Ollivier, Hélène, 2012. "Growth, deforestation and the efficiency of the REDD mechanism," Journal of Environmental Economics and Management, Elsevier, vol. 64(3), pages 312-327.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joke Bulthuis).
If references are entirely missing, you can add them using this form.