Using Proxies for the Short Rate: When are Three Months Like an Instant?
研究用代理变量估计不可观测的瞬时利率时产生的偏差，发现单因子仿射模型偏差不显著，双因子模型仅影响5年以上债券定价，但非线性模型偏差可能较大。
The dynamics of the unobservable ???short??? or ???instantaneous??? rate of interest are frequently estimated using a proxy variable. We show the biases resulting from this practice (the ???proxy??? problem) are related to the derivatives of the proxy with respect to the short rate and the (inverse) function from the proxy to the short rate. Analytic results show that the proxy problem is not economically significant for single-factor affine models, for parameter values consistent with US data. In addition, for the two-factor affine model of Longstaff and Schwartz (1992), the proxy problem is only economically significant for pricing discount bonds with maturities of more than 5 years. We also describe two different procedures which can be used to assess the magnitude of the proxy problem in more general interest rate models. Numerical evaluation of a nonlinear single-factor model suggests that the proxy problem can significantly affect both estimates of the diffusion function and discount bond prices.