Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

Francis Diebold (), Canlin Li and Vivian Z. Yue

No 13588, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.

JEL-codes: C01 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-fmk and nep-mon
Date: 2007-11
Note: AP EFG IFM
View list of references

Downloads: (external link)
http://www.nber.org/papers/w13588.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
Working Paper: Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach (2007)
Journal Article: Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:13588

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w13588
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().