Time-varying term premium model calibration and validation, December 2008
Document ID: 2008-1527 (previously 13)
Published on: 31st December 2008
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 December 2008 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.
