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

WPIEA2010258 Image
Price:  $18.00

Author/Editor: Jose Giancarlo Gasha, Carlos I. Medeiros, Jean Salvati, Marco Rodriguez, Ying He, Jiangbo Yi
Release Date: © November, 2010
ISBN : 978-1-45520-958-3
Stock #: WPIEA2010258
English
Stock Status: On back-order

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Description

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.




More publications in this series: Working Papers


More publications by: Jose Giancarlo Gasha ; Carlos I. Medeiros ; Jean Salvati ; Marco Rodriguez ; Ying He ; Jiangbo Yi