An Assessment of Estimates of Term Structure Models for the United States

Author/Editor: Carlos I. Medeiros ; Ying He
Publication Date: October 01, 2011
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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
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. 11/247
Subject(s): Economic models | Interest rate structures

Author's Keyword(s): Term structure models | term structure of interest rates | yield curves | yields on U.S. Treasury securities
Publication Date: October 01, 2011
ISBN/ISSN: 9781463923266/1018-5941 Format: Paper
Stock No: WPIEA2011247 Pages: 31
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