Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

Francis Diebold, Canlin Li and Vivian Yue

No 13588, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.

JEL-codes: C01 G12 (search for similar items in EconPapers)
Date: 2007-11
New Economics Papers: this item is included in nep-bec, nep-fmk and nep-mon
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Published as Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.

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Journal Article: Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach (2008)
Working Paper: Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach (2007)
Working Paper: Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach (2007)
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