Modelling the Yield Curve

Mark Taylor

Economic Journal, 1992, vol. 102, issue 412, 524-37

Abstract: This paper utilizes previously unpublished, weekly U.K. interest-rate data from the Bank of England to estimate and test a variety of alternative models of the term structure of interest rates. The rational expectations model is tested and rejected (using an extension of the Campbell-Shiller technique to the overlapping data case) as is a simple risk premium (GARCH) model. The data do, however, support a simple market segmentation model. Copyright 1992 by Royal Economic Society.

Date: 1992
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Working Paper: Modelling the Yield Curve (1991)
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