On the Estimation of Term Structure Models and an Application to the United States

63 Pages Posted: 1 Feb 2011

See all articles by Jose Giancarlo Gasha

Jose Giancarlo Gasha

affiliation not provided to SSRN

Ying He

International Monetary Fund (IMF)

Carlos I. Medeiros

International Monetary Fund (IMF)

Marco Rodriguez Waldo

affiliation not provided to SSRN

Jean Salvati

International Monetary Fund (IMF)

Jiangbo Yi

International Monetary Fund (IMF)

Date Written: November 2010

Abstract

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

Gasha, Jose Giancarlo and He, Ying and Medeiros, Carlos I. and Rodriguez Waldo, Marco and Salvati, Jean and Yi, Jiangbo, On the Estimation of Term Structure Models and an Application to the United States (November 2010). Available at SSRN: https://ssrn.com/abstract=1751370 or http://dx.doi.org/10.2139/ssrn.1751370

Jose Giancarlo Gasha (Contact Author)

affiliation not provided to SSRN

No Address Available

Ying He

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Carlos I. Medeiros

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Marco Rodriguez Waldo

affiliation not provided to SSRN ( email )

No Address Available

Jean Salvati

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Jiangbo Yi

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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