The Stochastic Volatility of Short‐Term Interest Rates: Some International Evidence
估计了短期无风险利率的随机波动率模型，发现多国利率动态相似且存在随机波动率证据；与股票收益不同，利率波动率均值回归更快，且与利率创新相关性极低，反映了央行公告等暂时性经济冲击的影响。
ABSTRACT This paper estimates a stochastic volatility model of short‐term riskless interest rate dynamics. Estimated interest rate dynamics are broadly similar across a number of countries and reliable evidence of stochastic volatility is found throughout. In contrast to stock returns, interest rate volatility exhibits faster mean‐reverting behavior and innovations in interest rate volatility are negligibly correlated with innovations in interest rates. The less persistent behavior of interest rate volatility reflects the fact that interest rate dynamics are impacted by transient economic shocks such as central bank announcements and other macroeconomic news.