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

_IMF Working Papers, November 1, 2010_

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## Bibliographic details
- Published: November 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455209583.001

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### Summary
- Discusses the estimation of models of the term structure of interest rates.
- Reviews the Nelson-Siegel Model and Affine Term- Structure Model.
- Estimates the term structure of Treasury bond yields for the United States using pre-crisis data.
- Uses a software developed by Fund staff that:
  - makes it possible to estimate the term structure using at least nine models, and
  - opens up the possibility of generating simulated paths of the term structure.

### Models Reviewed
- Nelson-Siegel Model
- Affine Term-Structure Model

### Data and Estimation
- Application focus: Treasury bond yields for the United States.
- Data vintage: pre-crisis data (as stated in the source).

### Software and Methodology
- Uses software developed by Fund staff.
- Software capabilities:
  - Estimate the term structure using at least nine models.
  - Generate simulated paths of the term structure.

### Subject Areas and Keywords
- Subject: Bonds, Factor models, Inflation, Short term interest rates, Yield curve
- Keywords: descriptive statistics, WP

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/on-the-estimation-of-term-structure-models-and-an-application-to-the-united-states-24362_