Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure.

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Year of publication:	2002-06-01
Authors:	Perignon, Christophe ; Villa, Christophe
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Schätzung \| Faktoranalyse \| Einflussgröße \| Zinsstruktur \| Term structure model

Table of Contents
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1. Introduction
2. An intuitive presentation of the common principal component model
3. Understanding similarities among subperiod covariance matrices of bond yields
4. Empirical Analysis
Extracting factors from time-varying correlation matrices
5. Conclusion

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005843340