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

November 1, 2010

Preview Citation

Format: Chicago

On the Estimation of Term Structure Models and An Application to the United States, (USA: International Monetary Fund, 2010) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Bonds, Factor models, Inflation, Short term interest rates, Yield curve

Keywords: Descriptive statistics, WP

Publication Details

Pages:

62
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2010/258
Stock No:

WPIEA2010258
ISBN:

9781455209583
ISSN:

1018-5941

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