Equilibrium Short-Rate Models vs No-Arbitrage Models: Literature Review and Computational Examples

• Autorzy: Dushko Josheski , Mico Apostolov

Warianty tytułu

Modele krótkoterminowe w równowadze a modele bez arbitrażu: przegląd literatury i przykłady obliczeniowe

• Języki publikacji: EN

Abstrakty

EN

In this paper equilibrium short-rate models are compared against no-arbitrage short-rate models. This article is composed of the introduction to this literature and a review, followed by numerical examples of one-factor short-rate models; the Cox-Ingersoll-Ross (CIR) model and the Vasicek model. No-arbitrage models were presented through the Hull-White (HW) model, the Binomial lattice model for bond pricing and interest rate modelling, the Black-Karasinski (BK) model, and the Heath-Jarrow-Morton (HJM) model. The results prove that no single interest rate model exists that can be used for all purposes. These models were compared in terms of volatility, mean reversion process and convergence. The end results confirm the dependence of volatility on the level rate as a determinant of the predictive success of these models. (original abstract)

W artykule porównano krótkoterminowe modele równowagi z modelami krótko-terminowymi bez arbitrażu. Opracowanie składa się ze wstępu do przeglądu literatury oraz przykładów estymacji jednoczynnikowych modeli krótkoterminowych, modelu Coxa-Ingersolla-Rossa (CIR) oraz modelu Vasicka. Modele bezarbitrażowe zostały zaprezentowane poprzez model Hulla-White'a (HW), model siatki dwumianowej do wyceny obligacji i modelowania stóp procentowych, model Blacka- -Karasińskiego (BK) oraz model Heath-Jarrow-Morton (HJM). Wyniki dowodzą, że nie istnieje jeden model stóp procentowych, który można wykorzystać do wszystkich celów. Modele te porównano pod względem zmienności, procesu rewersji średniej i konwergencji. Wyniki końcowe potwierdzają zależność zmienności od wskaźnika poziomu jako determinanty sukcesu predykcyjnego tych modeli.(abstrakt oryginalny)

Słowa kluczowe

EN

Econometrics; Econometric models

PL

Ekonometria; Modele ekonometryczne

• Czasopismo: Ekonometria / Uniwersytet Ekonomiczny we Wrocławiu
• Rocznik: 2021
• Tom: 25
• Numer: nr 3
• Strony: 42--71

Twórcy

autor

Dushko Josheski

• Business Administration, University Goce Delchev, Stip, Macedonia

autor

Mico Apostolov

• Business Administration, University Goce Delchev, Stip, Macedonia

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Identyfikatory

DOI

10.15611/eada.2021.3.0