*Tid:* **3 juni 2014 kl 13.15-14.00.**
**Seminarierummet 3721**, Institutionen för
matematik, KTH, Lindstedtsvägen 25, plan 7.
Karta!
*Föredragshållare:*
**
Magnus Bergroth and Anders Carlsson
**
**Titel:**
Estimation of a Liquidity Premium for
Swedish Inflation Linked Bonds (Master Thesis)
**Abstract**
It is well known that the inflation linked breakeven inflation, defined as the difference between a
nominal yield and an inflation linked yield, sometimes is used as an approximation of the market?s
inflation expectation. D?Amico et al. (2009, [5]) show that this is a poor approximation for
the US market. Based on their work, this thesis shows that the approximation also is poor for the
Swedish bond market. This is done by modelling the Swedish bond market using a five-factor
latent variable model, where an inflation linked bond specific premium is introduced. Latent
variables and parameters are estimated using a Kalman filter and a maximum likelihood estimation.
The conclusion is drawn that the modelling was successful and that the model implied
outputs gave plausible results.
The full report (pdf)
Till seminarielistan
To the list of
seminars |