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Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills / Charles R. Nelson, Andrew F. Siegel.
- Format:
- Book
- Author/Creator:
- Nelson, Charles R.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w1594.
- NBER working paper series no. w1594
- Language:
- English
- Subjects (All):
- Interest rates--Mathematical models.
- Interest rates.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1985.
- Cambridge, Massachussetts : National Bureau of Economic Research, [1985]
- Summary:
- A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research.
- Notes:
- Print version record
- March 1985.
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