On the Estimation of Term Structure Models and An Application to the United States

Author/Editor:

International Monetary Fund

Publication Date:

November 1, 2010

Electronic Access:

Free Full text (PDF file size is 2245 KB).Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.

Series:

Working Paper No. 10/258

Subject:

Frequency:

Quarterly

English

Publication Date:

November 1, 2010

ISBN/ISSN:

9781455209583/1018-5941

Stock No:

WPIEA2010258

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

62

Please address any questions about this title to publications@imf.org