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Yield Curve Modelling And A Conceptual Framework For Estimating Yield Curves
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Book Synopsis Yield Curve Modelling and a Conceptual Framework for Estimating Yield Curves by :
Download or read book Yield Curve Modelling and a Conceptual Framework for Estimating Yield Curves written by and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The European Central Bank (ECB), as part of its forward-looking strategy, needs high-quality financial market statistical indicators as a means to facilitate evidence-based and sound decision-making. Such indicators include timely market intelligence and information to gauge investors' expectations and reaction functions with regard to policy decisions. The main use of yield curve estimations from an ECB monetary policy perspective is to obtain a proper empirical representation of the term structure of interest rates for the euro area which can be interpreted in terms of market expectations of monetary policy, economic activity and inflation expectations over short-, medium- and long-term horizons. Yield curves therefore play a pivotal role in the monitoring of the term structure of interest rates in the euro area. In this context, the purpose of this paper is twofold: firstly, to pave the way for a conceptual framework with recommendations for selecting a high-quality government bond sample for yield curve estimations, where changes mainly reflect changes in the yields-to-maturity rather than in other attributes of the underlying debt securities and models; and secondly, to supplement the comprehensive - mainly theoretical - literature with the more empirical side of term structure estimations by applying statistical tests to select and produce representative yield curves for policymakers and market-makers.
Book Synopsis Yield Curve Modeling and Forecasting by : Francis X. Diebold
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Book Synopsis Estimating and Interpreting the Yield Curve by : Nicola Anderson
Download or read book Estimating and Interpreting the Yield Curve written by Nicola Anderson and published by . This book was released on 1996-06-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Book Synopsis Yield Curve Modeling by : Y. Stander
Download or read book Yield Curve Modeling written by Y. Stander and published by Springer. This book was released on 2005-06-23 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed.
Book Synopsis Joint Modelling of International Yield Curves by : Matti Koivu
Download or read book Joint Modelling of International Yield Curves written by Matti Koivu and published by . This book was released on 2008 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a new approach to modelling and estimating yield curves across multiple currency areas. The idea is that one area acts as the 'cardinal' economy by affecting the yield curve evolution in the other markets. To some extent, the yield curve factors of the 'cardinal economy' serve the role as global yield curve factors. The adopted methodology is inspired by the 3-factor Nelson-Siegel yield curve model where a particular loading structure is identified for the 'non-cardinal' currency areas. Using US, German and Japanese data the model is shown to fit well both the cross-sectional and time-series dynamics of yields.
Book Synopsis A Practitioner's Guide to Discrete-Time Yield Curve Modelling by : Ken Nyholm
Download or read book A Practitioner's Guide to Discrete-Time Yield Curve Modelling written by Ken Nyholm and published by Cambridge University Press. This book was released on 2021-01-07 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.
Book Synopsis Estimating Yield Curve Noise by : Michael G. Abrahams
Download or read book Estimating Yield Curve Noise written by Michael G. Abrahams and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I explore methods for estimating noise in the yield curve. I evaluate optimization methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial library.
Book Synopsis Modelling the Yield Curve by : Mr.Mark P. Taylor
Download or read book Modelling the Yield Curve written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-12-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium.
Book Synopsis Introduction of a New Conceptual Framework for Government Debt Management by : Anja Hubig
Download or read book Introduction of a New Conceptual Framework for Government Debt Management written by Anja Hubig and published by Springer Science & Business Media. This book was released on 2013-01-18 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Against the background of the financial-cum-sovereign debt crisis, government debt managers are currently faced by a challenging environment. One key element in that respect is the analysis and forecast of interest rates, which is important for achieving the strategic objective of low borrowing costs. Anja Hubig develops a new mathematical method to estimate the term structure of interest rates, that is adopted to describe the term structure dynamics within a stochastic setting. The introduced model is capable to capture the complex behavior of the entire yield curve with a reduced set of parameters. It essentially ensures a comprehensive analysis of the costs and risks associated with individual funding strategies, and thus effectively supports the selection of a long-term optimal debt portfolio composition.
Book Synopsis Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills by : Charles R. Nelson
Download or read book Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills written by Charles R. Nelson and published by . This book was released on 1985 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research.
Book Synopsis Beatificationis et canonizationis V. S. D. Joannis de Palafox et Mendoza... by :
Download or read book Beatificationis et canonizationis V. S. D. Joannis de Palafox et Mendoza... written by and published by . This book was released on 1788 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Specification Analysis of International Treasury Yield Curve Factors by : Fulvio Pegoraro
Download or read book Specification Analysis of International Treasury Yield Curve Factors written by Fulvio Pegoraro and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Yield Curve Modelling at the Bank of Canada by : David Jamieson Bolder
Download or read book Yield Curve Modelling at the Bank of Canada written by David Jamieson Bolder and published by . This book was released on 2008 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of ...
Book Synopsis The Yield Curve Through Time and Across Maturities by : Richard Startz
Download or read book The Yield Curve Through Time and Across Maturities written by Richard Startz and published by . This book was released on 2007 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an unobserved component model in which the short-term interest rate is composed of a stochastic trend and a stationary cycle. Using the Nelson-Siegel model of the yield curve as inspiration, we estimate an extremely parsimonious state-space model of interest rates across time and maturity. Our stochastic process generates a three-factor model for the term structure. At the estimated parameters, trend and slope factors matter while the third factor is empirically unimportant. Our baseline model fits the yield curve well. Model generated estimates of uncertainty are positively correlated with estimated term premia. An extension of the model with regime switching identifies a high-variance regime and a low-variance regime, where the high-variance regime occurs rarely after the mid-1980s. The term premium is higher, and more so for yields of short maturities, in the high-variance regime than that in the low-variance regime. The estimation results support our model as a simple and yet reliable framework for modeling the term structure.
Book Synopsis The Yield Curve by : Juan Camilo Santana
Download or read book The Yield Curve written by Juan Camilo Santana and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The yield curve is a tool widely used by those who make monetary policy decisions or plan their investments according to valuation, negotiation, or coverage on financial instruments. Because of its importance, our interest is focused on evaluating the performance of a set of econometric models for adjustments in the term structure of interest rates (in the context of the public debt market bond rates in Colombia and United States) and on the possible forms that the yield curves can take. The results reveal the goodness-of-fit of the artificial neural networks (ANN), the Svensson curve, the Nelson-Siegel curve, and local polynomials. Nevertheless, we strongly recommended the use the Svensson curve in the estimation of interest rates, due to the interpretability of its parameters and its superiority over the Nelson-Siegel Curve.
Book Synopsis Global Yield Curve Dynamics and Interactions by : Francis X. Diebold
Download or read book Global Yield Curve Dynamics and Interactions written by Francis X. Diebold and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.
Book Synopsis Yield Curve Estimation by Kernel Smoothing Methods by : Oliver B. Linton
Download or read book Yield Curve Estimation by Kernel Smoothing Methods written by Oliver B. Linton and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
