Parameter Stability in Yield Curve Fitting

Lorenzo Mercuri (), Andrea Perchiazzo (), Edit Rroji () and Ilaria Stefani ()
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Lorenzo Mercuri: University of Milan, Department of Economics and Quantitative Methods
Andrea Perchiazzo: University of Milan, Department of Economics and Quantitative Methods
Edit Rroji: University of Milano-Bicocca, Department of Statistics and Quantitative Methods
Ilaria Stefani: University of Parma, Department of Economics and Business Sciences

A chapter in New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2025, pp 179-189 from Springer

Abstract: Abstract We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020–2025.

Keywords: Yield Term Structure; Nelson-Siegel; Nelson-Siegel-Svensson; Sovereign bonds (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-05551-4_16

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DOI: 10.1007/978-3-032-05551-4_16

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