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Yield curves from different bond data sets
Review of Derivatives Research ( IF 0.7 ) Pub Date : 2019-07-05 , DOI: 10.1007/s11147-019-09162-z
Antonio Díaz , Francisco Jareño , Eliseo Navarro

It is well known that zero coupon rates are not observable variables. Their estimation process may be cumbersome and time consuming. We explore the extent to which the set of security prices used in the yield curve construction of three popular interest rate datasets (from the Federal Reserve Board, the US Department of the Treasury, and Bloomberg) may determine the results of different analyses. Using the same US Treasury prices from GovPX and applying the same fitting technique, we estimate zero coupon rates using different baskets of assets, i.e., including/excluding bills, on-the-run, and off-the-run bonds, attempting to mimic those used by each data providers. To illustrate the uncertainty surrounding these alternatives representations of the underlying yield curve, we examine common uses of these data sets in pricing, risk management and macroeconomic purposes. We find significant and sometime overwhelming differences in the volatility term structure, the pricing of interest rate derivatives, and the correlations among different forward rates particularly in both ends of the yield curve. Relevant implications are also observed on a classic test of the expectations hypothesis. The simplest asset basket, which only includes the on-the-run bills and bonds, is probably the one with the best results.



中文翻译:

不同债券数据集的收益率曲线

众所周知,零息票利率不是可观察变量。他们的估算过程可能既麻烦又耗时。我们探讨了三个流行利率数据集(来自美联储、美国财政部和彭博社)的收益率曲线构建中使用的一组证券价格在多大程度上可以决定不同分析的结果。使用来自 GovPX 的相同美国国债价格并应用相同的拟合技术,我们使用不同的资产篮子(即包括/不包括票据、在存债券和非发行债券)来估计零票面利率,试图模仿每个数据提供者使用的那些。为了说明这些代表潜在收益率曲线的替代方案的不确定性,我们研究了这些数据集在定价、风险管理和宏观经济目的中的常见用途。我们发现波动率期限结构、利率衍生品的定价以及不同远期利率之间的相关性(特别是在收益率曲线的两端)之间存在显着的、有时是压倒性的差异。在预期假设的经典检验中也观察到了相关含义。最简单的资产篮子(仅包括正在运行的票据和债券)可能是效果最好的资产篮子。

更新日期:2019-07-05
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