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Fitting Correlations Within and Between Bond Markets

Author

Listed:
  • Hans Dewachter

    (K.U.Leuven and Erasmus University Rotterdam)

  • Konstantijn Maes

    (K.U.Leuven, C.E.S., International Economics)

Abstract

In this paper we estimate and test a multi-factor CIR model for three countries: the USA, Germany and the UK. We find that the estimated model reproduces not only the correlation within each of the bond markets considered but also those observed between markets, suggesting the existence of common factors.

Suggested Citation

  • Hans Dewachter & Konstantijn Maes, 2001. "Fitting Correlations Within and Between Bond Markets," International Economics Working Papers Series wpie004, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
    • Handle: RePEc:kul:kulwps:wpie004
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    File URL: http://www.econ.kuleuven.ac.be/ew/academic/intecon/publications/wpie004.pdf
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    Citations

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    Cited by:

    1. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank.

    More about this item

    Keywords

    multi-factor CIR model; Kalman filter; common factors;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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