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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/154109

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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
Authors:	林士貴;方東杰 Fang, Dong-Jie;Yeh, Zong-Wei;He, Jie-Cao;Lin, Shih-Kuei
Contributors:	金融系
Keywords:	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
Issue Date:	2024-10-28 11:42:40 (UTC+8)
Abstract:	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
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.pacfin.2024.102392
DOI:	10.1016/j.pacfin.2024.102392
Appears in Collections:	[金融學系] 期刊論文

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