Computing Equilibrium Bond Prices in the Vayanos-Vila Model

30 Pages Posted: 27 Oct 2017

See all articles by Fumio Hayashi

Fumio Hayashi

National Graduate Institute for Policy Studies

Date Written: October 27, 2017

Abstract

We develop tools for computing equilibrium bond prices for the discrete-time version of the Vayanos-Vila (2009) model. With the maturity structure included in pricing factors, factor loadings for equilibrium bond yields depends on parameters describing maturity structure dynamics and other model parameters. An illustrative example shows that the effect on the yield curve of a supply shock originating in a given maturity, although hump-shaped around the originating maturity, is to change yields broadly across all maturities.

Keywords: Vayanos-Vila model; computation; maturity structure; yield curve; risk premia

JEL Classification: E43, E58, G12

Suggested Citation

Hayashi, Fumio, Computing Equilibrium Bond Prices in the Vayanos-Vila Model (October 27, 2017). Available at SSRN: https://ssrn.com/abstract=3060181 or http://dx.doi.org/10.2139/ssrn.3060181

Fumio Hayashi (Contact Author)

National Graduate Institute for Policy Studies ( email )

Roppongi 7-22-1
Minato-ku
Tokyo, 106-0032
Japan

HOME PAGE: http://https://sites.google.com/site/fumiohayashi/home

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