Term Structure Estimation with Survey Data on Interest Rate Forecasts
针对动态无套利期限结构模型估计中的小样本问题，提出将短期利率的预测调查数据作为额外输入，以美国国债收益率数据验证该方法能缓解小样本偏差，得到稳定的短期利率预期路径。
Abstract The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by severe small-sample problems arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an additional input to the estimation to overcome the problem. To illustrate the methodology, we estimate the 3-factor affine-Gaussian model with U.S. Treasury yields data and demonstrate that incorporating information from survey forecasts mitigates the small-sample problem. The model thus estimated for the 1990–2003 sample generates a stable and sensible estimate of the expected path of the short rate, reproduces the well-known stylized patterns in the expectations hypothesis tests, and captures some of the short-run variations in the survey forecast of the changes in longer-term interest rates.