A model to estimate the US term structure of interest rates

Antonio Marcos Duarte Junior and Sergio Werlang

No 273, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.

Date: 1995-10
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Related works:
Journal Article: A Model to Estimate the Us Term Structure of Interest Rates (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:273

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