A new approach to estimating portfolio-balance models of the yield curve / Antonio Diez de los Rios.: FB3-5/2026-33E-PDF
"We show that the parameters of a broad class of portfolio-balance models can be recovered from estimates of Gaussian dynamic term structure models (GDTSMs) using a two-step estimator that bypasses the fixed-point problem that characterizes portfolio-balance models. Specifically, we develop a novel canonical representation of bond supply in terms of factor-mimicking portfolios, whose returns replicate the structural shocks to the pricing factors. We identify these structural shocks by assuming that each shock corresponds to a distinct, mutually exclusive dimension of bond-supply variation. Using U.S. Treasury yields and macroeconomic data, we show the recovered shocks admit interpretations as hedging-risk-premium, risk-bearing-capacity, and monetary policy shocks"--Abstract.
Permanent link to this Catalogue record:
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| Title | A new approach to estimating portfolio-balance models of the yield curve / Antonio Diez de los Rios. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | 1 online resource (106 pages) : charts. |
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