Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach

Francis Diebold, Canlin Li and Vivian Yue

No 2008/27, CFS Working Paper Series from Center for Financial Studies (CFS)

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.

Keywords: Term Structure; Interest Rate; Dynamic Factor Model; Global Yield; World Yield; Bond Market (search for similar items in EconPapers)
JEL-codes: C5 E4 G1 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/43269/1/599228946.pdf (application/pdf)

Related works:
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200827

Access Statistics for this paper

More papers in CFS Working Paper Series from Center for Financial Studies (CFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().