Estimating the term structure for USA, UK, Japan, Germany and Austria using daily bond prices


Type Research Project

Duration March 1, 1999 - Aug. 31, 1999

  • Operations Research AE (Former organization)

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  • Geyer, Alois (Details) Project Head
 

Abstract (English)

Information about the current term structure of interest rates, its level and recent trends in important countries has become a standard tool of monetary policy analysis. For comparative purposes it is important to use a common technique to estimate the term structure for all countries. In this research parametric models of the term structure for Austria, Germany, UK, USA and Japan over the period 1993 to 1998 has been estimated. <br>Nelson-Siegel term structure model, non-linear least squares

Publications

Journal article

2001 Geyer, Alois, Kossmeier, Stephan, Pichler, Stefan. 2001. Analyse der Zinsspreads von EMU-Staatsanleihen. Die Bank, 5, 336-339 (Details)

Classification

Expertise

  • Japan