Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate

2005 ◽  
Author(s):  
Sutthisit Jamdee ◽  
Cornelis A. Los
Keyword(s):  
Term Structure ◽  
The Us ◽  
Fed Funds Rate ◽  
Multifractal Modeling

Covered interest parity in cross-currency swap bases and demand for US treasuries

2020 ◽  
Vol 07 (02) ◽  
pp. 2050018
Author(s):  
Cho-Hoi Hui ◽  
Chi-Fai Lo ◽  
Chin-To Fung
Keyword(s):  
Term Structure ◽  
Global Financial Crisis ◽  
Yield Curve ◽  
Balance Sheet ◽  
Term Structure Model ◽  
Dynamic Relationship ◽  
The Us ◽  
Covered Interest Parity ◽  
Interest Parity ◽  
Us Dollar

This paper studies the dynamic relationship between demand for the US Treasury yields and cross-currency swap (CCS) bases since the 2008 global financial crisis. Using a three-factor non-Gaussian-term structure model for the US Treasuries, an estimated short-rate premium in the yield curve tends to move in tandem with and lead the euro and Japanese yen CCS bases against the US dollar. The dynamics between the premium and CCS bases are found to be co-integrated, suggesting a long-run equilibrium between them. Empirically, the premium is found to be positively related to demand for Treasuries. This is consistent with recent studies in which factors including the strength of the US dollar, the demand for dollar funding and banks’ balance-sheet structures play important roles in determining the CCS bases. These factors increase demand for US Treasuries (high-quality US dollar assets) by investors searching for safe dollar assets and banks with higher leverages due to increased demand for dollar funding. The findings in this paper contribute to explaining the widespread failure of covered interest parity in foreign exchange swap markets.

scholarly journals A Model to Estimate the Us Term Structure of Interest Rates

1996 ◽  
Vol 16 (1) ◽  
pp. 65 ◽  
Author(s):  
Antonio Marcos Duarte Júnior ◽  
Sérgio Ribeiro da Costa Werlang
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
The Us

scholarly journals Term Structure of Natural Gas Futures Contracts

2017 ◽  
Vol 23 (1) ◽  
Author(s):  
Guych Nuryyev ◽  
Charles Hickson
Keyword(s):  
Natural Gas ◽  
Term Structure ◽  
Oil Prices ◽  
Futures Contracts ◽  
Gas Industry ◽  
Oil Futures ◽  
Risk Premiums ◽  
Natural Gas Markets ◽  
The Us ◽  
Natural Gas Industry

This paper considers the possibility of the persistence of quasi rents in the US natural gas industry. We compare the term structure of gas and oil futures, and test for cointegration between gas and oil prices. The results indicate that natural gas yield curves are consistently higher than those of oil, reflecting possible higher risk premiums. The results also indicate that gas prices are cointegrated with and are driven by oil prices. This is consistent with the notion of oil price serving as market indicator for gas contracts with potential quasi-rents. Our findings are important in supporting the view that natural gas markets may maintain quasi-rents, despite evidence of long-term trends in improving market efficiency.

Alternative characterization of volatility of short-term interest rate

2018 ◽  
Vol 05 (02) ◽  
pp. 1850018
Author(s):  
Ramaprasad Bhar ◽  
Damien Lee
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Empirical Comparison ◽  
Short Term ◽  
Latent Factor ◽  
The Us ◽  
Alternative Characterization ◽  
Technical Details

Most reported stochastic volatility (SV) model for interest rates only deals with an AR specification for the latent factor process. We show in this paper the technical details for specifying the SV model for interest rates that includes an ARMA structure, a jump component and additional exogenous variables for the latent factor process. We demonstrate the efficacy of this approach with an application to the US short-term interest rate data. We find that the elasticity parameter of the variance is closer to 0.5, i.e., similar to that of the Cox–Ingersoll–Ross (1985) model of interest rates. This is quite a contrast to the finding Chan et al. [Chan, KC, GA Karolyi, F Longstaff and A Sanders (1992). The volatility of short-term interest rates: An empirical comparison of alternative models of term structure of interest rates, Journal of Finance, 47, 1209–1227]. who found the elasticity to be close to 1.5.

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