Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach / Francis X. Diebold, Canlin Li, Vivian Z. Yue.

Format:

Book

Author/Creator:

Diebold, Francis X.

Contributor:

National Bureau of Economic Research.

Li, Canlin.

Yue, Vivian Z.

Series:

Working Paper Series (National Bureau of Economic Research) no. w13588.

NBER working paper series no. w13588

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Global Yield Curve Dynamics and Interactions

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2007.

Summary:

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.

Notes:

Print version record

November 2007.