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Term Structure of Interest Rates.Emergence of Power Laws and Scaling Laws

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Author Info
Thomas Alderweireld (Universit\'e de Mons-Hainaut)
Jean Nuyts (Universit\'e de Mons-Hainaut)
Abstract

The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws and new scaling laws emerge for any maturity not only as a function of the Lag but also as a function of the average inital rate. This is especially true for the one year maturity where critical forms and critical exponents are obtained. This suggests future work in the direction of constructing a theory of variations of interest rates at a more ``microscopic'' level.

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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0306001.

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Length: 22 pages
Date of creation: 02 Jun 2003
Date of revision:
Handle: RePEc:wpa:wuwpem:0306001

Note: Type of Document - LaTex; prepared on IBM PC - Linux; to print on PostScript; pages: 22 ; figures: included
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Web page: http://129.3.20.41

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Related research
Keywords: interest rates; scaling laws;

Find related papers by JEL classification:
B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Quantitative and Mathematical
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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  1. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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This page was last updated on 2009-12-16.

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