The term structure of Russian interest rates


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


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:


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.