An Assessment of Estimates of Term Structure Models for the United States

32 Pages Posted: 8 Nov 2011

See all articles by Ying He

Ying He

International Monetary Fund (IMF)

Carlos I. Medeiros

International Monetary Fund (IMF)

Date Written: October 2011

Abstract

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then presents estimations of some of specific models within these families of models - three-factor Nelson-Siegel Model, four-factor Svensson model, and preference-free, two-factor Cox, Ingersoll and Roll model - for the United States from 1972 to mid 2011. It subsequently provides an assessment of the estimations. It concludes that these estimations of the term structure models successfully capture the dynamics of the term structure in the United States.

Keywords: Economic models, Interest rate structures, United States

Suggested Citation

He, Ying and Medeiros, Carlos I., An Assessment of Estimates of Term Structure Models for the United States (October 2011). Available at SSRN: https://ssrn.com/abstract=1956394 or http://dx.doi.org/10.2139/ssrn.1956394

Ying He

International Monetary Fund (IMF) ( email )

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

Carlos I. Medeiros (Contact Author)

International Monetary Fund (IMF) ( email )

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

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