Estimating Chinese Treasury yield curves with Bayesian smoothing splines

Xiaojun Tong, Zhuoqiong Chong He and Dongchu Sun

Econometrics and Statistics, 2018, vol. 8, issue C, 94-124

Abstract: An improved Bayesian smoothing spline (BSS) model is developed to estimate the term structure of Chinese Treasury yield curves. The developed BSS model has a flexible function form which can model various yield curve shapes. As a nonparametric method different from Jarrow–Ruppert–Yu’s penalized splines, the BSS model does not need to choose the number of and locations for knots. Instead, this BSS model obtains the smoothing parameter as a by-product that does not need to be estimated. Furthermore, a dimension reduction procedure is developed to calculate an inverse matrix when implementing this BSS model. Finally, simulation results and an application illustrate the BSS model outperforms traditional parametric models and the penalized spline model.

Keywords: Yield curve estimation; Chinese Treasury bond; Bayesian smoothing splines (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2452306217300898
Full text for ScienceDirect subscribers only. Contains open access articles

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:eee:ecosta:v:8:y:2018:i:c:p:94-124

DOI: 10.1016/j.ecosta.2017.10.001

Access Statistics for this article

Econometrics and Statistics is currently edited by E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

More articles in Econometrics and Statistics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().