Estimating The Term Structure of Interest Rates: The Swiss Case

Iwan Meier

No 99.06, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: Parametric estimation approaches are widely by central banks as they produce smooth term structures with relatively few parameters. In the paper I implement the Nelson and Siegel (1987) model for Switzerland. The estimations use daily observations of Swiss government bonds from January 1994 to July 1998. To overcome the lack of sufficient data in the very short run, the 1-month and 1-year Euromarket rate are added. The knowledge of the dependencies of the term structure from the possible parameter constellations is used to calibrate the model for the Swiss market. The results show that the parameters are stable over time. The smooth shape and the stability over time make it a valuable tool for monetary policy.

Keywords: Term structure of interest rates; Interpolation (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Pages: 28 pages
Date: 1999-12
New Economics Papers: this item is included in nep-fmk and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.szgerzensee.ch/fileadmin/Dateien_Anwend ... g_papers/wp-9906.pdf Full text (application/pdf)
None

Related works:
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: https://EconPapers.repec.org/RePEc:szg:worpap:9906

Ordering information: This working paper can be ordered from
Studienzentrum Gerzensee, Postfach 21, 3115 Gerzensee

The price is Free.

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank, Study Center Gerzensee Studienzentrum Gerzensee, Postfach 21, 3115 Gerzensee.
Bibliographic data for series maintained by library ().