An Assessment of Estimates of Term Structure Models for the United States

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Author/Editor: Carlos I Medeiros, Ying He
Release Date: © October, 2011
ISBN : 978-1-46392-326-6
Stock #: WPIEA2011247
Stock Status: On back-order

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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.

More publications in this series: Working Papers

More publications by: Carlos I Medeiros ; Ying He