A Simple Measure for Examining the Proxy Problem of the Short-Rate

DOI

Bibliographic Information

Other Title
  • 短期金利の代理変数について、その妥当性を調べる簡便な方法の提案

Description

Using finite maturity yields as proxies for the short-rate may cause estimation biases and pricing errors of interest-rate sensitive securities, which is so-called the proxy problem. We propose a simple measure for examining how severe it is by utilizing an approximate model of the term structure having the similar functional form to affine models. Also, we propose a proxy-free estimation approach by utilizing model-inversion, which provides a useful benchmark based on which we can determine a better proxy.

Journal

Details 詳細情報について

  • CRID
    1390282680565627904
  • NII Article ID
    130005020073
  • DOI
    10.11345/japannctam.53.0.119.0
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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