A parametric study of the term structure dynamics

We present an analysis of the dynamics of the term structure of interest rates based on the study of the time evolution of the parameters of a variation of the Nelson–Siegel model. The results show that it is extremely difficult to find a relation between the evolution of the term structure and the behavior of macroeconomic variables different from the official interest rate.

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Year of publication:	2008
Authors:	Bernaschi, Massimo ; Tacconi, Elisa ; Vergni, Davide
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 5, p. 1264-1272
Publisher:	Elsevier
Subject:	Term structure \| Parametric model \| Vector linear regression

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010588918