Internationally affine term structure models

• Autores: Antonio Díez de los Ríos González
• Localización: The Spanish Review of Financial Economics, ISSN 2173-1268, Vol. 9, Nº. 1, 2011, págs. 31-40
• Idioma: inglés
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• Resumen

  • This note provides the conditions needed to obtain a multi-country term structure model where both bond yields for each country and the expected rate of depreciation (over any arbitrary period of time) are known affine functions of the set of state variables. In addition, two main families of dynamic term structure models are shown to satisfy these conditions.