We present an analysis of the dynamics of the term structure of interest rates based on the study of the time evolution of the parameters of a variation of the Nelson-Siegel model. The results show that it is extremely difficult to find a relation between the evolution of the term structure and the behavior of macroeconomic variables different from the official interest rate. (c) 2007 Elsevier B.V. All rights reserved
A parametric study of the term structure dynamics
Bernaschi M;Vergni D
2008
Abstract
We present an analysis of the dynamics of the term structure of interest rates based on the study of the time evolution of the parameters of a variation of the Nelson-Siegel model. The results show that it is extremely difficult to find a relation between the evolution of the term structure and the behavior of macroeconomic variables different from the official interest rate. (c) 2007 Elsevier B.V. All rights reservedFile in questo prodotto:
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