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TITLE: A General Equilibrium Duffie and Kan Term Structure Model
by Pedra and Nunes, 2002
Abstract:
The Duffie-Kan (1996) model, which can be considered as the most general affine term structure model, was originally specified in terms of risk-adjusted stochastic processes for its state variables. Here, the Duffie and Kan (1996) model is initially fitted into a general equilibrium framework under the physical probability measure, and then its equilibrium specification under an equivalent martingale measure is derived consistently with Duffie and Kan (1996). The resulting analytical solution for the vector of factors' risk premiums enables the econometric estimation of the model' parameters using a "time-series" or a "panel-data" approach, and nests, as special cases, several other specifications already proposed in the literature.
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