The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds | Zendy

Emilio Barone | Zendy; Domenico Cuoco | Zendy; Emerico Zautzik | Zendy

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The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds

Author(s) -

Emilio Barone,

Domenico Cuoco,

Emerico Zautzik

Publication year - 1989

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.512504

Subject(s) - treasury , term (time) , yield curve , economics , interest rate , cox–ingersoll–ross model , bond , affine term structure model , financial economics , econometrics , monetary economics , political science , finance , law , physics , quantum mechanics

This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989. The resulting term structures of interest rates are compared with those obtained using interpolation techniques (the cubic splines method). The daily estimation of the yield curves also makes it possible to analyze the changes in Treasury bond prices, determine the turning points and obtain useful indications regarding the efficiency of the secondary market and the consistency between the primary and the secondary markets.

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