Estimation of the term structure of interest rates - A parametric approach

Alois Geyer () and Richard Mader ()
Additional contact information
Alois Geyer: Institut fuer quantitative Unternehmensfuehrung, http://www.wu-wien.ac.at
Richard Mader: Oesterreichische Nationalbank, http://www.oenb.at

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: Readily available information about the current term structure of interest rates, its level and recent trends in important countries has become a standard tool of monetary policy analysis. Interest rate curves can be used for inflation and output forecasts, they may give useful indications about the differences in regional monetary stance and contain information about market expectations of future changes in interest rates. This information can facilitate the implementation of monetary policy, for example by judging the timing of the central bank's market operations. For comparative purposes it is important to use a common technique to estimate the term structure for all countries. This report presents the results of using parametric estimating models of the term structure for Austria, Germany, UK, USA and Japan over the period 1993 to 1998.

Keywords: term structure of interest rates; estimation; econometric models (search for similar items in EconPapers)
Pages: 41
Date: 1999-05-21
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Citations: View citations in EconPapers (8)

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