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An Analysis of the Ultra Long-Term Yields

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  • Simon Dubecq

    (Crest)

  • Christian Gourieroux

    (Crest)

Abstract

The discounting of very long-term cash-flows is crucial for the valuation oflong-term investment projects. In this paper, we analyze the market prices ofUS government bonds with very long-term time-to-maturity, and emphasizesome statistical specificities of very long-term zero-coupon rates, that stan-dard Gaussian affine term structure models do not account for. In addition,we describe and estimate three Gaussian Nelson-Siegel affine term structuremodels, and highlight the model characteristics, which are necessary to matchthe dynamics of very long-term interest rates.

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  • Simon Dubecq & Christian Gourieroux, 2010. "An Analysis of the Ultra Long-Term Yields," Working Papers 2010-49, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2010-49
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    Cited by:

    1. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
    2. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.

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