How Long to Read Estimating Parameters of Short-Term Real Interest Rate Models

How Long Does it Take to Read Estimating Parameters of Short-Term Real Interest Rate Models?

It takes the average reader and 27 minutes to read Estimating Parameters of Short-Term Real Interest Rate Models by Mr.Vadim Khramov

Assuming a reading speed of 250 words per minute. Learn more

Description

This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.

How long is Estimating Parameters of Short-Term Real Interest Rate Models?

Estimating Parameters of Short-Term Real Interest Rate Models by Mr.Vadim Khramov is 27 pages long, and a total of 6,939 words.

This makes it 9% the length of the average book. It also has 8% more words than the average book.

How Long Does it Take to Read Estimating Parameters of Short-Term Real Interest Rate Models Aloud?

The average oral reading speed is 183 words per minute. This means it takes and 37 minutes to read Estimating Parameters of Short-Term Real Interest Rate Models aloud.

What Reading Level is Estimating Parameters of Short-Term Real Interest Rate Models?

Estimating Parameters of Short-Term Real Interest Rate Models is suitable for students ages 8 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Estimating Parameters of Short-Term Real Interest Rate Models?

Estimating Parameters of Short-Term Real Interest Rate Models by Mr.Vadim Khramov is sold by several retailers and bookshops. However, Read Time works with Amazon to provide an easier way to purchase books.

To buy Estimating Parameters of Short-Term Real Interest Rate Models by Mr.Vadim Khramov on Amazon click the button below.