On the Estimation of Term Structure Models and an Application to the United States
63 Pages Posted: 1 Feb 2011
Date Written: November 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term-Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Keywords: Bonds, Economic models, Interest rate structures, Interest rates, United States
Suggested Citation: Suggested Citation