Term Structure of Interest Rates. Emergence of Power Laws and Scaling Laws

Arbeitspapier

The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws and new scaling laws emerge for any maturity not only as a function of the Lag but also as a function of the average inital rate. This is especially true for the one year maturity where critical forms and critical exponents are obtained. This suggests future work in the direction of constructing a theory of variations of interest rates at a more ''microscopic'' level.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: EERI Research Paper Series ; No. 5/2003

Klassifikation und Themen

• Klassifikation: Wirtschaft ; History of Economic Thought: Quantitative and Mathematical ; Model Construction and Estimation
• Thema: Interest rates scaling laws

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Alderweireld, Thomas ; Nuyts, Jean
• Ereignis: Veröffentlichung
• (wer): Economics and Econometrics Research Institute (EERI)
• (wo): Brussels
• (wann): 2003

Weitere Informationen

• Handle: http://hdl.handle.net/10419/142495
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ