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New estimates of the UK real and nominal yield curves

Nicola Anderson and John Sleath

Bank of England working papers from Bank of England

Abstract: This paper presents some new estimates of the UK real and nominal yield curves. These estimates are derived using a spline-based technique modified for the UK government bond markets. At the short end of the nominal yield curve, additional data are included from the GC repo market. Estimates of the real yield curve are derived from the prices of index-linked gilts. It is found that the new yield curves outperform existing methods on a number if criteria that are designed to examine the suitability of estimates for the purpose of assessing monetary conditions. In particular, the estimates are found to be smooth across maturity while having sufficient flexibility to describe the shape of the curve at shorter maturities where expectations are relatively precise. The curves are also robust to small errors in the data.

Date: 2001-03
New Economics Papers: this item is included in nep-eec, nep-fin, nep-fmk and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:126

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