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SOFR与联邦基金短期利率动态建模

文章 arXiv papers · 作者: Karol Gellert et al.
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总结

本文提出一种期限结构模型，适用于以SOFR作为核心US美元无风险基准、并将隔夜利率作为关键可观测输入的市场。模型着重考虑较长期限利率模型可能忽视的实证特征，包括SOFR与有效联邦基金利率之间的联系，后者受到货币政策决策的显著影响。

模型考虑了联邦公开市场委员会预定会议前后隔夜利率的跳跃，而由SOFR和联邦基金期货隐含的远期利率则继续扩散演变。模型根据期货价格进行校准，并将远期利率动态与沿分段常数路径变化的目标短期利率相协调。该框架适用于建模利率预期和期货定价。文中没有提供校准结果、参数估计或与其他模型的比较，因此无法证明其预测准确性或交易盈利能力。

核心观点

  • SOFR作为美元无风险基准的作用，促使期限结构模型采用隔夜利率动态。
  • SOFR与有效联邦基金利率相关联，且二者都可能在预定政策会议日期跳跃。
  • 期货价格反映市场对这些政策相关利率变化的预期。
  • 模型将扩散型远期利率动态与分段常数目标短期利率相结合。
  • 本文根据SOFR和联邦基金期货价格对模型进行校准。

标签

固定收益期货统计学
全文
# Short Rate Dynamics: A Fed Funds and SOFR perspective


# Short Rate Dynamics: A Fed Funds and SOFR perspective









The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the key features exhibited by the dynamics of SOFR and the forward rates implied by SOFR futures. Historically, interest rate term structure modelling has been based on rates of substantially longer time to maturity than overnight, but with SOFR the overnight rate now is the primary market observable. This means that the empirical idiosyncrasies of the overnight rate cannot be ignored when constructing interest rate models in a SOFR-based world. As a rate reflecting transactions in the Treasury overnight repurchase market, the dynamics of SOFR are closely linked to the dynamics of the Effective Federal Funds Rate (EFFR), which is the interest rate most directly impacted by US monetary policy target rate decisions. Therefore, these rates feature jumps at known times (Federal Open Market Committee meeting dates), and market expectations of these jumps are reflected in prices for futures written on these rates. On the other hand, forward rates implied by Fed Funds and SOFR futures continue to evolve diffusively. The model presented in this paper reflects the key empirical features of SOFR dynamics and is calibrated to futures prices. In particular, the model reconciles diffusive forward rate dynamics with piecewise constant paths of the target short rate.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。