Time-varying term premium model calibration and validation, June 2009
Document ID: 2009-1525 (previously 15)
Published on: 30th June 2009
Author: Jack Cheyne & Zhuoshi Liu
In this note we explain our methodology for calibrating the extended 2FBK model with a time-varying term premium to a target path for the nominal short rate. We conduct a calibration of the model at end June 2009 and show the projected short rate, inflation and excess returns for GBP, USD, EUR and JPY. We will provide calibrations of this model from end September 2009.
