A parametric study of the term structure dynamics

Massimo Bernaschi, Elisa Tacconi and Davide Vergni

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 5, 1264-1272

Abstract: We present an analysis of the dynamics of the term structure of interest rates based on the study of the time evolution of the parameters of a variation of the Nelson–Siegel model. The results show that it is extremely difficult to find a relation between the evolution of the term structure and the behavior of macroeconomic variables different from the official interest rate.

Keywords: Term structure; Parametric model; Vector linear regression (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:5:p:1264-1272

DOI: 10.1016/j.physa.2007.10.074

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