Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU

The Dynamic Nelson-Siegel model: empirical results for Chile and US

Rodrigo Alfaro (), Juan Becerra and Andres Sagner

MPRA Paper from University Library of Munich, Germany

Abstract: The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact parameters in the VAR model that generates Dynamic-Nelson-Siegel (DNS) which has a strong implication in the time-series properties of the interest rates: those should be model by an ARIMA(2,1,2). Finally we provide empirical evidence of the model for the cases of Chile and US, our finding matches previous results about the non-linear parameter of the model.

Keywords: Nelson-Siegel; Yield Curve; ARIMA (search for similar items in EconPapers)
JEL-codes: C22 E43 G12 (search for similar items in EconPapers)
Date: 2010-06-23, Revised 2010-06-23
New Economics Papers: this item is included in nep-mac
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