Correcting Estimation Bias in Dynamic Term Structure Models
研究发现动态期限结构模型的传统估计存在严重小样本偏差，导致对未来短期利率和长期期限溢价的估计失真。本文提供了多种偏差校正估计方法，使结果更符合宏观金融视角。
The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by small-sample bias has been largely ignored. We show that conventional estimates of DTSM coefficients are indeed severely biased, and this bias results in misleading estimates of expected future short-term interest rates and of long-maturity term premia. We provide a variety of bias-corrected estimates of affine DTSMs, for both maximally flexible and overidentified specifications. Our estimates imply interest rate expectations and term premia that are more plausible from a macrofinance perspective. This article has supplementary material online.