A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy

Material type: 文書・図像類

Author: 菊池, 健太郎

Publisher: Center for Risk Research (CRR), Shiga University

Publication date: 2020-03

Material Format: Digital

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Note (General)：: In the government bond markets in Japan and a number of European countries, negative interest rates have been observed in recent years. Incorporating ...

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Material Type: 文書・図像類
Title: A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy
Author/Editor: 菊池, 健太郎
Author Heading: 菊池, 健太郎
Publication, Distribution, etc.: Center for Risk Research (CRR), Shiga University
Publication Date: 2020-03
Publication Date (W3CDTF): 2020-03
Alternative Title: A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy
Periodical title: CRR Discussion Paper, Series B
No. or year of volume/issue: No. B-17
Volume: No. B-17
Pages: 1-15
Text Language Code: jpn
Subject Heading: 「Yield curve」「 No arbitrage condition」「Quadratic Gaussian term structure model」「Brownian bridge」「 Negative interest rate policy」
Target Audience: 一般
Note (General): In the government bond markets in Japan and a number of European countries, negative interest rates have been observed in recent years. Incorporating a negative lower bound for interest rates into a term structure model makes it possible for the model to replicate yield curves that include negative rates. In this study, we propose a new term structure model with a stochastic lower bound where the short rate is defined as the sum of the quadratic form of the Gaussian process and a negative lower bound for interest rates. The lower bound is characterized by a Brownian bridge with the random interval pinned at zero at the starting time and the end time of a negative interest rate policy (NIRP). Under this setting, we derive a zero coupon bond price formula by imposing the no arbitrage condition. We calibrate our proposed model using Japanese yield curve data and estimate the implied posterior distribution of the time to exit from the NIRP.
identifier:CRR Discussion Paper, Series B, No. B-17, pp.1-15
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 滋賀大学 : 滋賀大学学術情報リポジトリ