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Term Structure of Interest Rates.Emergence of Power Laws and Scaling Laws

Author

Listed:
  • Thomas Alderweireld

    (Universit\'e de Mons-Hainaut)

  • Jean Nuyts

    (Universit\'e de Mons-Hainaut)

Abstract

The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws and new scaling laws emerge for any maturity not only as a function of the Lag but also as a function of the average inital rate. This is especially true for the one year maturity where critical forms and critical exponents are obtained. This suggests future work in the direction of constructing a theory of variations of interest rates at a more ``microscopic'' level.

Suggested Citation

  • Thomas Alderweireld & Jean Nuyts, 2003. "Term Structure of Interest Rates.Emergence of Power Laws and Scaling Laws," Econometrics 0306001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0306001
    Note: Type of Document - LaTex; prepared on IBM PC - Linux; to print on PostScript; pages: 22 ; figures: included
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0306/0306001.pdf
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    References listed on IDEAS

    as
    1. Tiziana Di Matteo & Tomaso Aste, 2002. "How Does The Eurodollar Interest Rate Behave?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 107-122.
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    More about this item

    Keywords

    interest rates; scaling laws;

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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