Anne Lundgaard Hansen

I am a PhD candidate at the Department of Economics at University of Copenhagen. I will be available for interviews at the 2020 AFA/ASSA meetings in San Diego and the 2019 European Job Market in Rotterdam.

Research interests: Term structure modeling, financial econometrics, and macro-finance.

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Working Papers

Modeling Persistent Interest Rates with Volatility-Induced Stationarity

Version: September 14, 2019.

Abstract: It is well-known that interest rates are extremely persistent, yet they are best modeled and understood as stationary processes. These properties are contradictory in the workhorse Gaussian affine term structure model in which persistent data often result in unit roots that imply non-stationarity. We resolve this puzzle by proposing a term structure model with volatility-induced stationarity. Our model employs a level-dependent conditional volatility that maintains stationarity despite the presence of unit roots in the characteristic polynomial corresponding to the conditional mean. The model is consistent with key characteristics of interest rate data. In an empirical macro-finance application, we obtain term premia that are economically plausible and consistent with survey data. Compared to the Gaussian affine term structure model, we improve out-of-sample forecasting of the yield curve. Our empirical evidence suggests that volatility-induced stationarity is unspanned by the yield curve.

Work in Progress

Filtering Term Structure Models with Multivariate GARCH

Fixed-Design Bootstrap Testing for Non-Stationarity in Double-Autoregressive Models (with Philipp Kless)

Contact Information

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Postal address: University of Copenhagen, Department of Economics. Oester Farimagsgade 5. Copenhagen K, Denmark.