Abstract

http://ssrn.com/abstract=76612
 
 

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Estimating the Term Structure of Interest Rates


Mark Deacon


Bank of England

Andrew Derry


Bank of England


Bank of England Working Paper No. 24

Abstract:     
This paper examines various techniques used to estimate the term structure of interest rates from the prices of government bonds; in particular comparing the current Bank of England model with two approaches suggested in the academic literature. There are two main aspects of this problem: estimating the relationship between bond yields and maturity, and the relationship between bond yields and coupon. The paper outlines how these problems are approached by the three models, and compares them on both theoretical and practical grounds. It concludes that there is a trade-off between theoretical rigour and practical considerations.

JEL Classification: E43, G12

working papers series


Not Available For Download

Date posted: November 6, 2003  

Suggested Citation

Deacon, Mark and Derry, Andrew, Estimating the Term Structure of Interest Rates. Bank of England Working Paper No. 24. Available at SSRN: http://ssrn.com/abstract=76612

Contact Information

Mark Deacon
Bank of England
Threadneedle Street
London, EC2R 8AH
United Kingdom
Andrew Derry
Bank of England
Threadneedle Street
London, EC2R 8AH
United Kingdom
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