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Fitting Correlations Within and Between Bond Markets

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Author Info
Hans Dewachter () (K.U.Leuven and Erasmus University Rotterdam)
Konstantijn Maes () (K.U.Leuven, C.E.S., International Economics)

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Abstract

In this paper we estimate and test a multi-factor CIR model for three countries: the USA, Germany and the UK. We find that the estimated model reproduces not only the correlation within each of the bond markets considered but also those observed between markets, suggesting the existence of common factors.

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File URL: http://www.econ.kuleuven.ac.be/ew/academic/intecon/publications/wpie004.pdf
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Publisher Info
Paper provided by Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics in its series International Economics Working Papers Series with number wpie004.

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Length: 34 pages
Date of creation: Nov 2001
Date of revision:
Handle: RePEc:kul:kulwps:wpie004

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Related research
Keywords: multi-factor CIR model Kalman filter common factors

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank, Research Centre. [Downloadable!]
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This page was last updated on 2008-6-13.

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