An Assessment of Estimates of Term Structure Models for the United States
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Summary:
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then presents estimations of some of specific models within these families of models?three-factor Nelson-Siegel Model, four-factor Svensson model, and preference-free, two-factor Cox, Ingersoll and Roll model?for the United States from 1972 to mid 2011. It subsequently provides an assessment of the estimations. It concludes that these estimations of the term structure models successfully capture the dynamics of the term structure in the United States.
Series:
Working Paper No. 2011/247
Subject:
Bonds Econometric analysis Factor models Financial institutions Financial regulation and supervision Financial services Market risk Securities Yield curve
English
Publication Date:
October 1, 2011
ISBN/ISSN:
9781463923266/1018-5941
Stock No:
WPIEA2011247
Pages:
31
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