Articles : Estimating Term Structure Models for Korean Monetary Stabilization Bond: An Analysis of Trading Data

In this paper, we try to extend the work of Kim and Chang (2000) and to estimate exponential-affine term structure models for Korean monetary stabilization bond (MSB) using trading data as an alternative of traditional curve-fitting methodology. We estimate both one factor CIR model and two factor CIR model. Using the daily trading data instead of quoted data of Korean monetary stabitization bond from February 10 1992 to September 8 2000, this paper estimates one factor successfully, which is consistent result with quoted data. But it seems that the result of two factor model from the trading data is not the same as that from the quoted data.