A two-factor model of the U.K. yield curve

James M. Steeley

doi:10.1111/1467-9957.65.s.2

A two-factor model of the U.K. yield curve

James M. Steeley

Accounting

Research output: Contribution to journal › Article › peer-review

Abstract

I model the forward premium in the U.K. gilt-edged market over the period 1982–96 using a two-factor general equilibrium model of the term structure of interest rates. The model permits the decomposition of the forward premium into separate components representing interest rate expectations, the risk premia associated with each of the underlying factors, and terms capturing the direct impact of the variances of the factors on the shape of the forward curve.

Original language	English
Pages (from-to)	32-58
Number of pages	27
Journal	Manchester School
Volume	65
Issue number	S
DOIs	https://doi.org/10.1111/1467-9957.65.s.2
Publication status	Published - 1997

Keywords

I model
gilt-edged market
two-factor general equilibrium model
term structure
interest rates

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10.1111/1467-9957.65.s.2

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abstract = "I model the forward premium in the U.K. gilt-edged market over the period 1982–96 using a two-factor general equilibrium model of the term structure of interest rates. The model permits the decomposition of the forward premium into separate components representing interest rate expectations, the risk premia associated with each of the underlying factors, and terms capturing the direct impact of the variances of the factors on the shape of the forward curve.",

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AB - I model the forward premium in the U.K. gilt-edged market over the period 1982–96 using a two-factor general equilibrium model of the term structure of interest rates. The model permits the decomposition of the forward premium into separate components representing interest rate expectations, the risk premia associated with each of the underlying factors, and terms capturing the direct impact of the variances of the factors on the shape of the forward curve.

KW - I model

KW - gilt-edged market

KW - two-factor general equilibrium model

KW - term structure

KW - interest rates

UR - http://www3.interscience.wiley.com/journal/119178792/abstract

U2 - 10.1111/1467-9957.65.s.2

DO - 10.1111/1467-9957.65.s.2

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VL - 65

SP - 32

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JO - Manchester School

JF - Manchester School

IS - S

ER -

A two-factor model of the U.K. yield curve

Abstract

Keywords

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