Volatility and Jump Risk Premia in Emerging Market Bonds:
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-di...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2007
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 07/172 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-diffusion models that are successful in approximating the term structure of interest rates of emerging markets. The parameters of the term structure of interest rates are reconciled with the associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and unanticipated jumps cannot generate the non-normalities consistent with the observed interest rates. Jumps occur (8,10) times a year in Argentina and Brazil, respectively. The size and variance of these jumps is also of statistical significance |
| Beschreibung: | 1 Online-Ressource (25 p) |
| ISBN: | 1451867360 9781451867367 |
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| index_date | 2024-07-03T20:13:24Z |
| indexdate | 2024-07-10T09:35:32Z |
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| spelling | Matovu, John Verfasser aut Volatility and Jump Risk Premia in Emerging Market Bonds Matovu, John Washington, D.C International Monetary Fund 2007 1 Online-Ressource (25 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 07/172 There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-diffusion models that are successful in approximating the term structure of interest rates of emerging markets. The parameters of the term structure of interest rates are reconciled with the associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and unanticipated jumps cannot generate the non-normalities consistent with the observed interest rates. Jumps occur (8,10) times a year in Argentina and Brazil, respectively. The size and variance of these jumps is also of statistical significance Online-Ausg http://elibrary.imf.org/view/IMF001/08559-9781451867367/08559-9781451867367/08559-9781451867367.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Matovu, John Volatility and Jump Risk Premia in Emerging Market Bonds |
| title | Volatility and Jump Risk Premia in Emerging Market Bonds |
| title_auth | Volatility and Jump Risk Premia in Emerging Market Bonds |
| title_exact_search | Volatility and Jump Risk Premia in Emerging Market Bonds |
| title_exact_search_txtP | Volatility and Jump Risk Premia in Emerging Market Bonds |
| title_full | Volatility and Jump Risk Premia in Emerging Market Bonds Matovu, John |
| title_fullStr | Volatility and Jump Risk Premia in Emerging Market Bonds Matovu, John |
| title_full_unstemmed | Volatility and Jump Risk Premia in Emerging Market Bonds Matovu, John |
| title_short | Volatility and Jump Risk Premia in Emerging Market Bonds |
| title_sort | volatility and jump risk premia in emerging market bonds |
| url | http://elibrary.imf.org/view/IMF001/08559-9781451867367/08559-9781451867367/08559-9781451867367.xml |
| work_keys_str_mv | AT matovujohn volatilityandjumpriskpremiainemergingmarketbonds |