Arbitrage‐Based Estimation of Nonstationary Shifts in the Term Structure of Interest Rates
检验了利率期限结构变化的状态依赖三项式模型，扩展了Ho和Lee（1986）的模型，允许状态依赖漂移，并通过OLS回归识别驱动期限结构演变的可观测状态变量。
ABSTRACT The purpose of this paper is to provide a test of a state‐dependent multinomial model of intertemporal changes in the term structure of interest rates. The theoretical background for the model comes from Ho and Lee (1986) . The current paper extends their model in several significant ways. First, we perform diagnostic tests on the data to demonstrate that the empirical results reject a binomial model in favor of a trinomial one. After theoretically deriving the appropriate trinomial model, the current paper extends their model to allow for state‐dependent shifts which are determined by the set of ex ante observable state variables. The methodology for the study utilizes OLS regressions to identify the exogenous explanatory variables which drive the hypothesized trinomial process of term structure evolution. The empirical tests indicate that the set of state variables explains a significant portion of the variability in the shifts of the term structure over time. The model also identifies and quantifies a set of variables which impact on changes in the term structure of interest rates.