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Modelling the Yield Curve

We 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, i...

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Bibliographic Details
Main Author: Taylor, Mark
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1991
Series:IMF Working Papers
Subjects:
Investments: Bonds
Financial Services
Interest Rates: Determination, Term Structure, And Effects
Finance
Financial Institutions
Econometrics & Economic Statistics
Banks And Banking
General Financial Markets: General (includes Measurement And Data)
Dynamic Treatment Effect Models
Interest Rates
Econometric Analysis
Econometrics
Diffusion Processes
Short Term Interest Rates
Investment & Securities
Treasury Bills And Bonds
Vector Autoregression
Dynamic Quantile Regressions
Time-series Models
Investments: General
Yield Curve
Government Securities
Bonds
United Kingdom
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:We 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
Physical Description:38 pages
ISBN:9781451931457

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