On the Estimation of Term Structure Models and An Application to the United States
IMF Working Papers, November 1, 2010
Source details
- Canonical URL
- On the Estimation of Term Structure Models and An Application to the United States
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Bibliographic details
- Published: November 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455209583.001
Summary
- Discusses the estimation of models of the term structure of interest rates.
- Reviews the Nelson-Siegel Model and Affine Term- Structure Model.
- Estimates the term structure of Treasury bond yields for the United States using pre-crisis data.
- Uses a software developed by Fund staff that:
- makes it possible to estimate the term structure using at least nine models, and
- opens up the possibility of generating simulated paths of the term structure.
Models Reviewed
- Nelson-Siegel Model
- Affine Term-Structure Model
Data and Estimation
- Application focus: Treasury bond yields for the United States.
- Data vintage: pre-crisis data (as stated in the source).
Software and Methodology
- Uses software developed by Fund staff.
- Software capabilities:
- Estimate the term structure using at least nine models.
- Generate simulated paths of the term structure.
Subject Areas and Keywords
- Subject: Bonds, Factor models, Inflation, Short term interest rates, Yield curve
- Keywords: descriptive statistics, WP