An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore
This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion m...
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1998
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/486 |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion model with conditional heteroscedasticity appears to fit the data adequately. [ABSTRACT FROM AUTHOR] |
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