The Structure of Spot Rates and Immunization
实证分析债券定价中状态变量的最优即期利率选择，发现四年期即期利率在单变量模型中最佳，六年期和八个月期利率在两变量模型中最佳，且模型预测能力优于麦考利久期模型。
ABSTRACT Empirical studies of the modern theories of bond pricing typically choose proxies for the state variables in a rather arbitrary fashion. This paper empirically analyzes the question of the optimal spot rates to use as state variables. Our findings indicate that the four‐year spot rate serves as the best proxy in the one‐state‐variable model. In the case of the two‐state‐variables model, the six‐year rate and eight‐month rate are identified as best. Tests of the out‐of‐sample prediction ability indicate that our model is superior to Macaulay's duration model and alternative proxies for state variables.