A Rotated Dynamic Nelsonâ€ Siegel Model
Economic Notes, 2018, vol. 47, issue 1, 113-124
I show how to rotate the factor structure of the wellâ€ known Dynamic Nelsonâ€ Siegel yieldâ€ curve model to enable direct parametrization of the short rate process. This makes it easy to calculate modelâ€ implied term premia and to integrate macroeconomic variables into the model in a Taylorâ€ ruleâ€ type fashion.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:ecnote:v:47:y:2018:i:1:p:113-124
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0391-5026
Access Statistics for this article
More articles in Economic Notes from Banca Monte dei Paschi di Siena SpA
Bibliographic data for series maintained by Wiley Content Delivery ().