TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Ou, Yangguoyi
T1  - Analyzing interest rate risk: stochastic volatility in the term structure of government bond yields
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2009,03
N2  - We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying uncertainty of the yield curve’s level, slope and curvature. Estimating the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the factor volatilities follow highly persistent processes. We show that slope and curvature risk have explanatory power for bond excess returns and illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary policy and employment growth. JEL Classification: C5, E4, G1
T3  - CFS working paper series - 2009, 03 
KW  - Term Structure Modelling
KW  - Yield Curve Risk
KW  - Stochastic Volatility
KW  - Factor Models
KW  - Macroeconomic Fundamentals
KW  - Zinsänderungsrisiko
Y1  - 2009
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6275
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-63749
ER  -