An International Examination of Affine Term Structure Models and the Expectations Hypothesis
利用加拿大、德国、日本、英国和美国国债数据，检验仿射期限结构模型的表现，发现远期利率对超额债券收益有强预测力，且三因子模型在多数国家足够，但德国可能需要更多因子。
Abstract We examine the yield curve behavior and the relative performance of affine term structure models (ATSMs) using government bond yield data from Canada, Germany, Japan, the U.K., and the U.S. We find strong predictability of forward rates for excess bond returns and reject the expectations hypothesis in all five countries. A three-factor model is sufficient to capture movements in the yield curve of Canada, Japan, the U.K., and the U.S., but may not be enough for Germany. An exhaustive comparison among ATSMs with no more than three factors reveals that the three-factor essential affine model (A 1 (3) E ), with only one factor affecting the volatility of the short rate but with all three factors affecting the price of risk, performs best in all five countries. Simulations provide inconclusive evidence on whether this best affine model can successfully generate the rich yield curve behavior observed in the data.