Turalay Kenc, prófessor í fjármálahagfræði við háskólann í Bradford í Bretlandi, verður með málstofu í Sölvhóli kl. 15.00 fimmtudaginn 14. desember næstkomandi. Málstofan ber titilinn: The term structure of interest rates in Iceland (íslenska vaxtarófið). Málstofan er á ensku.

Ágrip:

We estimate one factor models including the CIR model to obtain the term structure of interest rates in Iceland. The estimation is based on a unified state-space formulation for parameter estimation of exponential-affine term structure models. The proposed method uses an approximate linear Kalman filter which only requires specifying the conditional mean and variance of the system in an approximate sense. The method allows for measurement errors in the observed yields to maturity, and can simultaneously deal with many yields on bonds with different maturities. We also discuss the extensions of the estimation and modelling to regime shifts, exponential-polynomial families and structural macro models of the yield curve.