A Simple Measure for Examining the Proxy Problem of the Short-Rate

• Hideyuki Takamizawa

  Hitotsubashi University

Bibliographic Information

Other Title

• 短期金利の代理変数について、その妥当性を調べる簡便な方法の提案

Abstract

Using finite maturity yields as proxies for the short-rate may cause estimation biases and pricing errors of interest-rate sensitive securities, which is so-called the proxy problem. We propose a simple measure for examining how severe it is by utilizing an approximate model of the term structure having the similar functional form to affine models. Also, we propose a proxy-free estimation approach by utilizing model-inversion, which provides a useful benchmark based on which we can determine a better proxy.

Journal

• NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan

  NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan 53 (0), 119-119, 2004

  National Committee for IUTAM

Details

• CRID: 1390282680565627904
• NII Article ID: 130005020073
• DOI: 10.11345/japannctam.53.0.119.0
• Data Source:
  • JaLC
  • CiNii Articles
• Abstract License Flag: Disallowed