Long-term Yields Implied by Stochastic Discount Factor Decompositions

dc.creatorAlmeida, Caio
dc.creatorCordeiro, Fernando
dc.date2019-07-26
dc.date.accessioned2022-11-03T21:19:41Z
dc.date.available2022-11-03T21:19:41Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/76365
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5048094
dc.descriptionWe use the framework developed by Christensen (2017) and Hansen and Scheinkman (2009) to study the long-term interest rates in the US and Brazil. We apply a nonparametric estimator to US and Brazilian data to identify how the yield of a long-term zero-coupon bond responds to the initial state of the economy. Using a flexible specification for the state process leads to an interesting non-linear response of the yield to changes in the initial state. As a by-product of our work, we assess the performance of Christensen's estimator using Monte Carlo simulations based on two widely adopted asset pricing models (rare disasters and habit formation).en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/76365/76366
dc.rightsCopyright (c) 2019 Brazilian Review of Econometricspt-BR
dc.sourceBrazilian Review of Econometrics; Vol. 39 No. 1 (2019)en-US
dc.sourceBrazilian Review of Econometrics; v. 39 n. 1 (2019)pt-BR
dc.source1980-2447
dc.subjectPerron-Frobenius Operator Problemen-US
dc.subjectLong Term Yieldsen-US
dc.subjectStochastic Discount Factor Decompositionsen-US
dc.subjectEingefunctionsen-US
dc.subjectC5en-US
dc.subjectC13en-US
dc.subjectC14en-US
dc.titleLong-term Yields Implied by Stochastic Discount Factor Decompositionsen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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