| Description |
1 online resource |
| Series |
IMF Working Papers; Working Paper No. 11/247 |
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IMF working paper ; Working Paper No. 11/247.
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| Contents |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Nelson-Siegel Models; A. Yield-Only Nelson-Siegel Model; B. Yield-Macro Nelson Siegel Model; C. Four-Factor Svensson Model; III. Cox, Ingersoll and Ross Models; A. Single-Factor Model; B. The Cox, Ingersoll, and Ross Model; IV. Estimations of the Term Structure Models; A. Data; B. Nelson-Siegel Models; 1. Estimated Term Structures and Estimation Residual; 2. Estimation Residuals; 3. Performance Evaluation of Models; 4. Observed and Estimated Average Yield Curve; 5. Estimation Factors; 1. Goodness of Fit |
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2. Goodness of Fit of the Yield-Macro NSM6. Impulse Functions Based on Yield-Only NSM; 3. Variance Decomposition, Three-Factor NSM; 4. Variance Decomposition, Four-Factor Svensson Model; 7. Simulated Yields Based on Yield-Only NSM; 5. Simulation Statistics; C. Cox, Ingersoll and Ross (CIR) Models; V. Conclusions; References; Footnotes |
| Summary |
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then presents estimations of some of specific models within these families of models?three-factor Nelson-Siegel Model, four-factor Svensson model, and preference-free, two-factor Cox, Ingersoll and Roll model?for the United States from 1972 to mid 2011. It subsequently provides an assessment of the estimations. It concludes that these estimations of the term structure models successfully capture the dynamics of the term structure in the United States |
| Notes |
English |
| SUBJECT |
United States. http://id.loc.gov/authorities/names/n78095330
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| Subject |
United States
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| Form |
Electronic book
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| Author |
He, Ying, Contributor
|
| ISBN |
146399866X |
|
9781463998660 |
|
9781463923266 |
|
1463923260 |
|
1463980949 |
|
9781463980948 |
|
1463965869 |
|
9781463965860 |
|
