Risk Structure of Interest Rates: An Empirical Analysis for Deutschemark-Denominated Bonds

Posted: 8 Nov 2000

See all articles by Klaus Duellmann

Klaus Duellmann

Deutsche Bundesbank

Marliese Uhrig-Homburg

Karlsruhe Institute of Technology (KIT) - Institute for Finance

Marc Windfuhr

affiliation not provided to SSRN

Abstract

This paper empirically studies the risk structure of interest rates for Deutschemark-denominated bonds. For this purpose, we estimate term structures of interest rates using the parsimonious fitting function of Nelson and Siegel (1987) for virtually risk free Government bonds and five different rating categories classified by Moody's ratings (Aaa, Aa, A, Baa, Ba). The sample period covers the time interval from July 1990 to December 1996. We investigate the pricing errors resulting from our estimation procedure and analyse credit spreads over the term structure of Government bonds.

Suggested Citation

Düllmann, Klaus and Uhrig-Homburg, Marliese and Windfuhr, Marc, Risk Structure of Interest Rates: An Empirical Analysis for Deutschemark-Denominated Bonds. Available at SSRN: https://ssrn.com/abstract=241742

Klaus Düllmann (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Marliese Uhrig-Homburg

Karlsruhe Institute of Technology (KIT) - Institute for Finance ( email )

P.O. Box 6980
D-76049 Karlsruhe, DE
Germany
+49 721 6084 8183 (Phone)
+49 721 6084 8190 (Fax)

HOME PAGE: http://derivate.fbv.kit.edu/english/index.php

Marc Windfuhr

affiliation not provided to SSRN

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
979
PlumX Metrics