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

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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Year of publication:	2010-11-01
Institutions:	International Monetary Fund (IMF) ; International Monetary Fund
Subject:	United States \| Economic models \| Interest rate structures \| bond \| equation \| time series \| martingale \| covariance \| probability \| statistics \| bonds \| coupon bond \| optimization \| equations \| descriptive statistics \| bond yields \| measurement errors \| bond price \| discount bond \| monte carlo simulations \| bond prices \| econometrics \| number of parameters \| stochastic processes \| stochastic process \| coupon bonds \| standard deviations \| forecasting \| zero-coupon bonds \| treasury bond \| treasury bond yields \| financial instruments \| standard deviation \| yields on bonds \| parameter vector \| random variables \| bond market \| martingales \| discount bonds \| interest rate risk \| correlation \| government bond \| government bond yields \| diffusion process \| mathematics \| derivative \| measurement error \| prediction \| normal distribution \| estimation procedure \| diffusion processes \| financial markets \| standard errors \| nominal bonds \| calculus \| mean square \| optimizations \| credit derivatives \| financial derivatives \| bond returns \| monte carlo methods \| forward contract \| bond options \| dynamic system \| global bond market \| bond rates \| covariances \| markov chain \| interest rate derivative \| parameter estimation \| interest rates on bonds \| bond trading \| interest rate policy \| stochastic differential equation \| combination of factors \| vector autoregression \| yields of bonds \| parsimonious model \| maximum likelihood estimation \| computations \| stochastic differential equations \| time series analysis \| polynomial \| financial assets \| probabilities \| computation \| correlations \| asymptotic distributions \| statistical tests \| cash flows \| maximum likelihood estimator \| global bond \| conditional expectation \| bond yield \| monte carlo simulation \| treasury bonds \| simulation model \| simulation process

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series IMF Working Papers Number 10/258 6 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008727797