Yield Curve Modelling at the Bank of Canada
Author: David Jamieson Bolder
Publisher:
Published: 2008
Total Pages: 69
ISBN-13:
DOWNLOAD EBOOKThe primary objective of ...
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Author: David Jamieson Bolder
Publisher:
Published: 2008
Total Pages: 69
ISBN-13:
DOWNLOAD EBOOKThe primary objective of ...
Author: David Bolder
Publisher:
Published: 1999
Total Pages: 56
ISBN-13: 9780662276029
DOWNLOAD EBOOKAuthor: David Bolder
Publisher:
Published: 2002
Total Pages: 81
ISBN-13:
DOWNLOAD EBOOKAuthor: David Bolder
Publisher:
Published: 1999
Total Pages: 70
ISBN-13: 9780662276029
DOWNLOAD EBOOKAuthor: David Jamieson Bolder
Publisher:
Published: 2008
Total Pages: 90
ISBN-13:
DOWNLOAD EBOOKThis paper continues the work started by Bolder and Streacute;liski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices. The first class of term-structure estimation methods follows from work by Fisher, Nychka, and Zervos (1994), Anderson and Sleath (2001), and Waggoner (1997). This approach employs a B-spline basis for the space of cubic splines to fit observed coupon-bond prices - as a consequence, we call these the spline-based models. This approach includes a penalty in the generalized least-squares objective function - following from Waggoner (1997) - that imposes the desired level of smoothness into the term structure of interest rates. The second class of methods is called function-based and includes variations on the work of Li et al. (2001), which uses linear combinations of basis functions, defined over the entire term-to-maturity spectrum, to fit the discount function. This class of function-based models includes the model proposed by Svensson (1994). In addition to a comprehensive discussion of these models, the authors perform an extensive comparison of these models' performance in the Canadian marketplace.
Author: Mr.Mark P. Taylor
Publisher: International Monetary Fund
Published: 1991-12-01
Total Pages: 38
ISBN-13: 145193145X
DOWNLOAD EBOOKWe test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium.
Author: Antonio Diez de los Rios
Publisher:
Published: 2020
Total Pages: 0
ISBN-13:
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Publisher:
Published: 2018
Total Pages:
ISBN-13: 9789289933568
DOWNLOAD EBOOKThe European Central Bank (ECB), as part of its forward-looking strategy, needs high-quality financial market statistical indicators as a means to facilitate evidence-based and sound decision-making. Such indicators include timely market intelligence and information to gauge investors' expectations and reaction functions with regard to policy decisions. The main use of yield curve estimations from an ECB monetary policy perspective is to obtain a proper empirical representation of the term structure of interest rates for the euro area which can be interpreted in terms of market expectations of monetary policy, economic activity and inflation expectations over short-, medium- and long-term horizons. Yield curves therefore play a pivotal role in the monitoring of the term structure of interest rates in the euro area. In this context, the purpose of this paper is twofold: firstly, to pave the way for a conceptual framework with recommendations for selecting a high-quality government bond sample for yield curve estimations, where changes mainly reflect changes in the yields-to-maturity rather than in other attributes of the underlying debt securities and models; and secondly, to supplement the comprehensive - mainly theoretical - literature with the more empirical side of term structure estimations by applying statistical tests to select and produce representative yield curves for policymakers and market-makers.
Author: Jagjit S. Chadha
Publisher: Cambridge University Press
Published: 2016-09-01
Total Pages: 0
ISBN-13: 9781316623169
DOWNLOAD EBOOKChanges in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the recent financial crises have created a challenge to the management of monetary policy, demanding a revision in the way that policymakers model expected changes in the economy. This volume brings together central bank economists and leading academic monetary economists to propose new methods for modelling the behaviour of interest rates. Topics covered include: the analysis and extraction of expectations of future monetary policy and inflation; the analysis of the short-term dynamics of money market interest rates; the reliability of existing models in periods of extreme market volatility and how to adjust them accordingly; and the role of government debt and deficits in affecting sovereign bond yields and spreads. This book will interest financial researchers and practitioners as well as academic and central bank economists.
Author: Paola Donati
Publisher:
Published: 2008
Total Pages: 44
ISBN-13:
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