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The term structure of Russian interest rates

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  • Stanislav Anatolyev
  • Sergey Korepanov

Abstract

Using the series of Moscow Interbank Offer Rates, this paper estimates a flexible parametrization of the diffusion process following the approach of Ait-Sahalia (1996) of matching parametric and nonparametric estimates of the marginal density. On the basis of the estimated model, the implied term structure using simulations is computed.

Suggested Citation

  • Stanislav Anatolyev & Sergey Korepanov, 2003. "The term structure of Russian interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 10(13), pages 867-870.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:13:p:867-870
    DOI: 10.1080/1350485032000158609
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    References listed on IDEAS

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    1. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
    2. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    3. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    4. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-577.
    5. Matthew Pritsker, 1997. "Nonparametric density estimation and tests of continuous time interest rate models," Finance and Economics Discussion Series 1997-26, Board of Governors of the Federal Reserve System (U.S.).
    6. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
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    Cited by:

    1. Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 87-104.
    2. Minoas Koukouritakis & Leo Michelis, 2008. "The term structure of interest rates in the 12 newest EU countries," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 479-490.
    3. Benjamin Tabak, 2009. "Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2681-2689.

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