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| Title | What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion |
| Creator | 林士貴; 方東杰 Fang, Dong-Jie;Yeh, Zong-Wei;He, Jie-Cao;Lin, Shih-Kuei |
| Contributor | 金融系 |
| Key Words | Secured Overnight Financing Rate (SOFR); SOFR futures; Arbitrage-free Nelson–Siegel model with jump diffusion (AFNSJ); Federal Open Market Committee (FOMC) meeting; Particle filter |
| Date | 2024-09 |
| Date Issued | 28-Oct-2024 11:42:40 (UTC+8) |
| Summary | In this paper, the arbitrage-free Nelson–Siegel (NS) model with jump diffusion (AFNSJ) is proposed to describe the Secured Overnight Financing Rate (SOFR). The parameters of this model are estimated through particle filtering conducted with a weighted maximum likelihood estimation approach. The empirical results of this study indicate that the AFNSJ outperforms the arbitrage-free NS model in fitting market data. SOFR jumps are highly related to Federal Open Market Committee meetings. Moreover, even under different interest rate changes, these jumps are mainly driven by a short-term factor. The risk adjustment term can suitably capture changes in the US Federal Reserve rate caused by the jump risk component. |
| Relation | Pacific-Basin Finance Journal, Vol.86, 102392, pp.1-21 |
| Type | article |
| DOI | https://doi.org/10.1016/j.pacfin.2024.102392 |
| dc.contributor | 金融系 | - |
| dc.creator (作者) | 林士貴; 方東杰 | - |
| dc.creator (作者) | Fang, Dong-Jie;Yeh, Zong-Wei;He, Jie-Cao;Lin, Shih-Kuei | - |
| dc.date (日期) | 2024-09 | - |
| dc.date.accessioned | 28-Oct-2024 11:42:40 (UTC+8) | - |
| dc.date.available | 28-Oct-2024 11:42:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 28-Oct-2024 11:42:40 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/154109 | - |
| dc.description.abstract (摘要) | In this paper, the arbitrage-free Nelson–Siegel (NS) model with jump diffusion (AFNSJ) is proposed to describe the Secured Overnight Financing Rate (SOFR). The parameters of this model are estimated through particle filtering conducted with a weighted maximum likelihood estimation approach. The empirical results of this study indicate that the AFNSJ outperforms the arbitrage-free NS model in fitting market data. SOFR jumps are highly related to Federal Open Market Committee meetings. Moreover, even under different interest rate changes, these jumps are mainly driven by a short-term factor. The risk adjustment term can suitably capture changes in the US Federal Reserve rate caused by the jump risk component. | - |
| dc.format.extent | 108 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Pacific-Basin Finance Journal, Vol.86, 102392, pp.1-21 | - |
| dc.subject (關鍵詞) | Secured Overnight Financing Rate (SOFR); SOFR futures; Arbitrage-free Nelson–Siegel model with jump diffusion (AFNSJ); Federal Open Market Committee (FOMC) meeting; Particle filter | - |
| dc.title (題名) | What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion | - |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2024.102392 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1016/j.pacfin.2024.102392 | - |