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Fuzzy Differences in Differences

Author

Listed:
  • 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.

Suggested Citation

  • Clément de CHAISEMARTIN, 2010. "Fuzzy Differences in Differences," Working Papers 2010-08, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2010-08
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    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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