An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore
Publication Type
Journal Article
Publication Date
1998
Abstract
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]
Discipline
Asian Studies | Econometrics
Research Areas
Econometrics
Publication
Asian Economic Journal
Volume
12
Issue
1
First Page
23
Last Page
34
ISSN
1351-3958
Identifier
10.1111/1467-8381.00050
Publisher
Wiley
Citation
TSE, Yiu Kuen.
An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore. (1998). Asian Economic Journal. 12, (1), 23-34.
Available at: https://ink.library.smu.edu.sg/soe_research/486
Additional URL
https://doi.org/10.1111/1467-8381.00050