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

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

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

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

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,...

On Brazil’s Term Structure

On Brazil’s Term Structure »

Source: On Brazil's Term Structure : Stylized Facts and Analysis of Macroeconomic Interactions

Volume/Issue: 2011/113

Series: IMF Working Papers

Author(s): Rodrigo Cabral , Richard Munclinger , Luiz Alves , and Marco Rodriguez Waldo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455261420

Keywords: Term structure models of interest rates, interest rates, yields on bonds, macroeconomic variables, central bank, macroeconomic factors, interest, Financial Markets and the Macroeconomy,

This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this paper uses a soft...

On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States »

Source: On the Estimation of Term Structure Models and An Application to the United States

Volume/Issue: 2010/258

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209583

Keywords: Term structure models of interest rates, interest rates, yields on bonds, bond, equation, time series, martingale, covariance, Financial Markets and the Macroeconomy,

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper es...

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

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

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

DOI: http://dx.doi.org/10.5089/9781463923266.001

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

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,...

On Brazil's Term Structure
			: Stylized Facts and Analysis of Macroeconomic Interactions

On Brazil's Term Structure : Stylized Facts and Analysis of Macroeconomic Interactions »

Volume/Issue: 2011/113

Series: IMF Working Papers

Author(s): Rodrigo Cabral , Richard Munclinger , Luiz Alves , and Marco Rodriguez Waldo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

DOI: http://dx.doi.org/10.5089/9781455261420.001

ISBN: 9781455261420

Keywords: Term structure models of interest rates, interest rates, yields on bonds, macroeconomic variables, central bank, macroeconomic factors, interest, Financial Markets and the Macroeconomy,

This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this paper uses a soft...

On the Estimation of Term Structure Models and An Application to the United States

On the Estimation of Term Structure Models and An Application to the United States »

Volume/Issue: 2010/258

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455209583.001

ISBN: 9781455209583

Keywords: Term structure models of interest rates, interest rates, yields on bonds, bond, equation, time series, martingale, covariance, Financial Markets and the Macroeconomy,

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper es...