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首页> 外文期刊>AESTIMATIO: the IEB International Journal of Finance >Discrete-time affine term structure models with macroeconomic factors: Applied to German covered bonds
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Discrete-time affine term structure models with macroeconomic factors: Applied to German covered bonds

机译：具有宏观经济因素的离散仿射期限结构模型：应用于德国担保债券

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摘要

In this paper we calibrate the term structure of interest rates of German covered bonds and explain its dynamics in a similar set up to Jakas (2011, 2012). However, two ap- proaches to the affine model are employed here: (i) including and (ii) disregarding the no-arbitrage condition. Similar to Jakas (2011, 2012) the stochastic discount fac- tor (SDF) accounts for such macroeconomic factors as consumer expectations, un- employment rate, inflation rate and money supply. When including no-arbitrage, the yield curves are calibra ted using a discrete time affine multifactor term structure model. Interestingly, when the no-arbitrage condition is disregarded, coefficients can take both positive and negative values along the yield curve, something that does not occur with an affine no-arbitrage model. Overall, the empirical findings in this study confirm the observations in the macrofinance literature, suggesting that macroeco- nomic factors have a strong explanatory power in the movements of the term structure of interest rates. We also find that the influence of macroeconomic variables is more pronounced at the front end rather than on longer maturities.
机译：在本文中，我们校准了德国担保债券的利率期限结构，并在与Jakas（2011，2012）类似的设置中解释了其动态。但是，这里采用了仿射模型的两种方法：（i）包括和（ii）忽略无套利条件。与Jakas（2011，2012）相似，随机贴现因子（SDF）解释了诸如消费者期望，失业率，通货膨胀率和货币供应量等宏观经济因素。当包括无套利时，使用离散时间仿射多因素期限结构模型来校准收益率曲线。有趣的是，当无套利条件被忽略时，系数可以沿着收益率曲线取正值和负值，这在仿射无套利模型中是不会发生的。总体而言，本研究的经验发现证实了宏观金融文献中的观察结果，表明宏观经济因素在利率期限结构的变动中具有很强的解释力。我们还发现，宏观经济变量的影响在前端而不是更长的期限上更为明显。

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