The yield curve or term structure of interest rate
represents the relationship between the maturities and the yields of government securities.
That is, the term structure of carbon prices should primarily reflect the term structure of interest rates
. However, the data indicates otherwise.
Our research goal is centered in the forecasting of the form of the term structure of interest rates
for Colombia; the paper focuses on the interest rates and forecasting models.
For the entire sample period, there are strong liquidity effects for the entire term structure of interest rates
with the short end having a slightly higher effect.
Bikbov, Ruslan, and Mikhail Chernov, 2008, "Monetary policy regimes and the term structure of interest rates
," London Business School, working paper, November 11.
Morton, 1992, "Bond Pricing and the Term Structure of Interest Rates
: a New Methodology for Contingent Claims Valuation," Econometrica 60, 77-106.
In the absence of a theoretical framework that defines in detail the term structure of interest rates
, can be testing different models with real data, without using any observation that coming from a set of prices derived from interest rates.
The term structure of interest rates
can be described in terms of the spot (or zero-coupon) rate, the discount rate and the forward rate.
Most economic models of the term structure of interest rates
, including the widely known expectations theory, assume that supply shifts of bonds do not matter in determining prices.
It's not sold to institutions except as a part of 3-volume Economics Site License) Edited by Lo (MIT Sloan School of Management) and Merton (Harvard Business School), who provide a personal overview of the state of research in their introduction, the volume presents 15 essays reviewing current history, trends, and scholarship in topics that include credit risk models, term structure of interest rates
, capital market-driven corporate finance, consumer finance, and volatility derivatives.
Suyash Sinha and C.P Gupta have investigated the challenges and problems in the estimation of term structure of interest rates
and the implementation of term structure estimation models in Indian bond market, given its lack of liquidity and efficient price discovery.
'Development of the term structure of interest rates
depends on regular issues in the primary market, increased trading activity in the secondary market, and providing ease of entry and exit to both the issuers and the investors.