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Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques

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  • Lubrano, Michel

    (GREQAM-CNRS)

Abstract

This paper investigates empirical models of the US short term interest rate. It make use of a combination of classical non-parametric methods and of parametric bayesian methods. In a first step, it investigates the shape of drift and volatility functions using non parametric tools. The paper then develops a bayesian approach to model selection based on the minimisation of the Hellinger distance between the posterior predictive density of a discretised model and a non-parametric estimation of the data density. A discretisation of various parametric formulations are then estimated, ranging between constant elasticity of variance to switching regimes. Cet article a pour objet l’investigation des modèles empiriques de taux d’intérêt de court terme sur données américaines. Il utilise une combinaison de méthodes classiques non paramétriques et de méthodes bayésiennes paramétriques. La forme des fonctions de dérive et de volatilité du modèle discrétisé est tout d’abord examinée au moyen d’une analyse non paramétrique préliminaire. Le texte développe ensuite une méthode bayésienne de choix de modèles qui est basée sur la capacité d’un modèle à minimiser la distance de Hellinger entre la densité prédictive a posteriori du modèle discrétisé et la densité de l’échantillon observé. Une discrétisation du modèle en temps continu est estimée en utilisant différentes variantes paramétriques allant du modèle à variance constante jusqu’à différents types de modèles de switching suggérés par l’analyse non paramétrique préliminaire.

Suggested Citation

  • Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
  • Handle: RePEc:ris:actuec:v:80:y:2004:i:2:p:465-499
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    References listed on IDEAS

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    1. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
    2. Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 23-46.
    3. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
    4. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, May.
    5. Lubrano, M., 1996. "Bayesian Analysis of Nonlinear Time Series Models with Threshold," G.R.E.Q.A.M. 96a12, Universite Aix-Marseille III.
    6. Boldin Michael D., 1996. "A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-14, April.
    7. Wolfgang HÄRDLE & H. LÜTKEPOHL & R. CHEN, 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    8. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
    9. Ravi Bansal & Hao Zhou, 2002. "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, American Finance Association, vol. 57(5), pages 1997-2043, October.
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    11. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-577.
    12. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 85-107, March.
    13. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    14. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.
    15. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
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