Research areas
- Arbitrage-free term structure models
- Term premium estimation
- Real and nominal yield curve decomposition
- Macro-finance models of the term structure
Key papers
Recent work
Developed the Kim-Orphanides (2004) term structure model that became the basis for the Federal Reserve’s standard term premium estimates. Extended the model to incorporate inflation data and real term structure decomposition (Kim 2004).
Collaborators
- Jonathan H. Wright (co-author on the Kim-Wright model)
- Athanasios Orphanides (co-author on the Kim-Orphanides model)
- min-wei (Federal Reserve colleague)
My notes
The Kim-Wright model is the canonical Gaussian affine term structure model with survey augmentation. Its Riccati ODE structure for bond prices (a(n), b(n)) is the continuous-time analogue of the discrete pricing recursions in the CRE model’s term structure module. The model’s stationarity limitation motivates the regime-switching extensions used in the CRE project.