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Author/Editor:
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Gasha, Jose Giancarlo ; He, Ying ; Medeiros, Carlos I. ; Rodriguez , Marco ; Salvati, Jean ; Yi, Jiangbo
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Publication Date:
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November 01, 2010
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Electronic Access:
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Free Full text
(PDF file size is 2,245KB).
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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
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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.
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Order a print copy
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Series:
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Working Paper No. 10/258
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Subject(s):
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Bonds | Economic models | Interest rate structures | Interest rates | United States
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Author's Keyword(s):
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Term structure models of interest rates | interest rates | yields on bonds | United States |
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English
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Publication Date:
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November 01, 2010
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Format:
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Paper
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Stock No:
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WPIEA2010258
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Pages:
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62
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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