The term structure of Russian interest rates

Citation:

Anatolyev, Stanislav and Sergey Korepanov (2003) The term structure of Russian interest rates, Applied Economics Letters, Vol. 10, No. 13, pp. 867870

Abstract:

Using the series of Moscow Interbank Offer Rates, this paper estimates a flexible parametrization of the diffusion process following the approach of At-Sahalia (1996) of matching parametric and nonparametric estimates of the marginal density. On the basis of the estimated model, the implied term structure using simulations is computed.

Paper in RePEc:

Applied Economics Letters 10:13, 867-870

Paper in accepted version:

MIBOR.pdf

Data used in the paper:

MIBOR rate

MIBOR rate, outliers removed

Cited by:

Koukouritakis, M. and L. Michelis (2008) "The term structure of interest rates in the 12 newest EU countries", Applied Economics 40 (4), 479-490.