Journalartikel

Jahr der Veröffentlichung: 2017

Seiten: 6754-6763

Zeitschrift: Communications in Statistics - Theory and Methods

Bandnummer: 46

Heftnummer: 14

ISSN: 0361-0926

eISSN: 1532-415X

DOI Link: https://doi.org/10.1080/03610926.2015.1130842

Verlag: Taylor and Francis Group

Abstract: 
Understanding the behavior of interest rates is of central importance in finance. This is due to the fact that interest and forward rates serve as underlyings for many fixed income products. Furthermore, interest rate-based quantities may be used as numeraires when it comes to computing present values of future payoffs. An important macroeconomic factor which is likely to trigger interest rates is inflation. In this paper we extend a well-known continuous time interest rate model by incorporating inflation. Finally, we apply a statistical test to real data to explore the goodness-of-fit of the inflation-based model.

Harvard-Zitierstil: Monsalve-Cobis, A., Gonzalez-Manteiga, W. and Stute, W. (2017) The statistical impact of inflation on interest rates, Communications in Statistics - Theory and Methods, 46(14), pp. 6754-6763. https://doi.org/10.1080/03610926.2015.1130842

APA-Zitierstil: Monsalve-Cobis, A., Gonzalez-Manteiga, W., & Stute, W. (2017). The statistical impact of inflation on interest rates. Communications in Statistics - Theory and Methods. 46(14), 6754-6763. https://doi.org/10.1080/03610926.2015.1130842