C. Nelson, and A. Siegel. The Journal of Business, 60 (4):
473--489(1987)
Abstract
This paper introduces a parametrically parsimonious model for yield curves that has the ability to represent the shapes generally associated with yield curves: monotonic, humped, and S shaped. We find that the model explains 96\% of the variation in bill yields across maturities during the period 1981-83. The movement of the parameters through time reflects and confirms a change in Federal Reserve monetary policy in late 1982. The ability of the fitted curves to predict the price of the long-term Treasury bond with a correlation of .96 suggests that the model captures important attributes of the yield/maturity relation.
%0 Journal Article
%1 citeulike:1110075
%A Nelson, Charles R.
%A Siegel, Andrew F.
%D 1987
%J The Journal of Business
%K finmath, yield-curve
%N 4
%P 473--489
%T Parsimonious Modeling of Yield Curves
%U http://www.jstor.org/stable/2352957
%V 60
%X This paper introduces a parametrically parsimonious model for yield curves that has the ability to represent the shapes generally associated with yield curves: monotonic, humped, and S shaped. We find that the model explains 96\% of the variation in bill yields across maturities during the period 1981-83. The movement of the parameters through time reflects and confirms a change in Federal Reserve monetary policy in late 1982. The ability of the fitted curves to predict the price of the long-term Treasury bond with a correlation of .96 suggests that the model captures important attributes of the yield/maturity relation.
@article{citeulike:1110075,
abstract = {{This paper introduces a parametrically parsimonious model for yield curves that has the ability to represent the shapes generally associated with yield curves: monotonic, humped, and S shaped. We find that the model explains 96\% of the variation in bill yields across maturities during the period 1981-83. The movement of the parameters through time reflects and confirms a change in Federal Reserve monetary policy in late 1982. The ability of the fitted curves to predict the price of the long-term Treasury bond with a correlation of .96 suggests that the model captures important attributes of the yield/maturity relation.}},
added-at = {2019-06-18T20:47:03.000+0200},
author = {Nelson, Charles R. and Siegel, Andrew F.},
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journal = {The Journal of Business},
keywords = {finmath, yield-curve},
number = 4,
pages = {473--489},
posted-at = {2007-02-16 20:08:03},
priority = {2},
timestamp = {2019-06-18T20:47:03.000+0200},
title = {{Parsimonious Modeling of Yield Curves}},
url = {http://www.jstor.org/stable/2352957},
volume = 60,
year = 1987
}