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    Three studies are summarized that analyze interest rate data from the US and France between 1984-1996. The first study by LS analyzed US spot rates from 1984-1988 and found that a 3-factor model explained 88% of the data. The second by KM and GT analyzed US and French spot and forward rates using 1, 2, and 3-factor models that explained between 92.8-93.7% of the data. A third study analyzed 1-year forward US rates from 1984-1995 using a 5-factor model that explained over 56% of the data.

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    Three studies are summarized that analyze interest rate data from the US and France between 1984-1996. The first study by LS analyzed US spot rates from 1984-1988 and found that a 3-factor model explained 88% of the data. The second by KM and GT analyzed US and French spot and forward rates using 1, 2, and 3-factor models that explained between 92.8-93.7% of the data. A third study analyzed 1-year forward US rates from 1984-1995 using a 5-factor model that explained over 56% of the data.

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    8 views1 page

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    Uploaded by

    ngocnguyen.31211022349
    Three studies are summarized that analyze interest rate data from the US and France between 1984-1996. The first study by LS analyzed US spot rates from 1984-1988 and found that a 3-factor model explained 88% of the data. The second by KM and GT analyzed US and French spot and forward rates using 1, 2, and 3-factor models that explained between 92.8-93.7% of the data. A third study analyzed 1-year forward US rates from 1984-1995 using a 5-factor model that explained over 56% of the data.

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    of 1

    Authors Country (period)—kind of rates Range ‘Factor % of explanation”

    LS (1991) USA (1984—1988)—spot (1990-—1994)—spot 6M-18Y s3 88.04/8.38/1.97


    KM (1992)JPMorgan
    GT (1997) France (1989—1990)—-spot
    RiskMetrics (1988—1996)—spot
    —09/30/96—spot 1Y-25Y
    3M-30Y 2
    3 93.7/6.1
    92.8/4.8/1.27
    USA (1984-1995) __ 1 year forward . 1Y-9Y 5 56.5/17.4/9.86/8.12/4.3

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