Abstract

This paper presents a simple model of the long-term interest rate. The model represents Keynes’s conjecture that the central bank’s actions influence the long-term interest rate primarily through the short-term interest rate, while allowing for other important factors. It relies on the geometric Brownian motion to formally model Keynes’s conjecture. Geometric Brownian motion has been widely used in modeling interest rate dynamics in quantitative finance. However, it has not been used to represent Keynes’s conjecture. Empirical studies in support of the Keynesian perspective and the stylized facts on the dynamics of the long-term interest rate on government bonds suggest that interest rate models based on Keynes’s conjecture can be advantageous.

摘要

本文提出了一个简单的长期利率模型。该模型代表了凯恩斯的猜想，即央行的行动主要通过短期利率影响长期利率，同时考虑了其他重要因素。它依靠几何布朗运动来正式模拟凯恩斯猜想。几何布朗运动已广泛用于量化金融中的利率动态建模。但是，它还没有被用来代表凯恩斯的猜想。支持凯恩斯观点的实证研究和关于政府债券长期利率动态的典型事实表明，基于凯恩斯猜想的利率模型可能是有利的。