Time-varying term premium model calibration and validation, March 2009
Document ID: 2009-1526 (previously 14)
Published on: 31st March 2009
Author: Jack Cheyne & Zhuoshi Liu
14In 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 Mar 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.
