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Estimating the dynamics of interest rates in the Japanese economy

Nowman, K. Ben and Níguez, Trino Manuel (2007) Estimating the dynamics of interest rates in the Japanese economy. In: Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, 15 16 Mar 2007, Paris, France. (Submitted)

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Abstract

This paper analyses the performance of the Yu and Phillips (2001) estimation method for the case of the Japanese economy. This new parametric technique is based on the Dambis, Durbin-Schwarz theorem to extract an exact Gaussian discrete model of a continuous-time diffusion process for the interest rate. We use the new approach together with Nowman's (1997) method to estimate different specifications for a varied data set, including interbank and T-bill rates with different maturities and frequencies. Our results show that the Yu-Phillips procedure provides estimates in line with their Monte Carlo results in most of the cases.

Item Type:Conference or Workshop Item (Paper)
Uncontrolled Keywords:Conditional volatility, continuous time diffusion, interest rates, Monte Carlo experiment, quasi-maximum likelihood
Research Community:University of Westminster > Westminster Business School
ID Code:5116
Deposited On:13 Jun 2008 16:29
Last Modified:01 Nov 2012 15:36

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