EMM을 이용한 국내 이자율 및 신용스프레드 추정 : Estimating the Korean short-term interest rate and credit spreads using the EMM
- 발행기관 서강대학교 대학원
- 지도교수 정재식
- 발행년도 2007
- 학위수여년월 200702
- 학위명 석사
- 학과 및 전공 경제
- 식별자(기타) 000000103743
- 본문언어 한국어
초록/요약
This paper uses the Efficient Method of Moments(EMM) of Gallant and Tauchen to estimate continuous-time stochastic volatility diffusion models for the Korean short-term interest rate and credit spreads, sampled weekly over 2000∼2006. The preferred model displays mean reversion and incorporates ''level effects'' and stochastic volatility in the diffusion function. Extensive diagnostics indicate that the Cox-Ingersoll-Ross model with an added stochastic volatility factor provides a good characterization of the short rate process. Further, this study suggests that two-factor stochastic volatility model be more desirable than one-factor model to estimate the Korean short-term interest rate. On the other hand, empirical result suggests that continuous-time stochastic volatility diffusion models for the credit spreads fail to perform reasonably well to explain the data and also need to be incorporate time-varying jumps.
more초록/요약
This paper uses the Efficient Method of Moments(EMM) of Gallant and Tauchen to estimate continuous-time stochastic volatility diffusion models for the Korean short-term interest rate and credit spreads, sampled weekly over 2000∼2006. The preferred model displays mean reversion and incorporates ''level effects'' and stochastic volatility in the diffusion function. Extensive diagnostics indicate that the Cox-Ingersoll-Ross model with an added stochastic volatility factor provides a good characterization of the short rate process. Further, this study suggests that two-factor stochastic volatility model be more desirable than one-factor model to estimate the Korean short-term interest rate. On the other hand, empirical result suggests that continuous-time stochastic volatility diffusion models for the credit spreads fail to perform reasonably well to explain the data and also need to be incorporate time-varying jumps.
more