A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates

Stationarity and the Term Structure of Interest Rates: A Characterisation of Stationary and Unit Root Yield Curves

SSRN Electronic Journal ◽

10.2139/ssrn.1288557 ◽

2008 ◽

Cited By ~ 1

Author(s):

Clive G. Bowsher ◽

Roland Meeks

Keyword(s):

Interest Rates ◽

Term Structure ◽

Unit Root ◽

Root Yield ◽

Yield Curves

Yield Curves, Swap Curves, and Term Structure of Interest Rates

Debt Markets and Investments ◽

10.1093/oso/9780190877439.003.0012 ◽

2019 ◽

pp. 203-228

Author(s):

Tom P. Davis ◽

Dmitri Mossessian

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Term Structure ◽

Yield Curve ◽

Yield Curves ◽

No Arbitrage ◽

Interest Rate Swap ◽

The Interest Rate ◽

Rate Swap ◽

The U.S

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the yield curve and examines the basic principles of the arbitrage-free pricing as they apply to yield curve construction. The chapter also reviews cases in which the no-arbitrage assumption is dropped from the yield curve, and then moves to specifics of the arbitrage-free curve construction for bond and swap markets. The concepts of equilibrium and market curves are introduced. The details of construction of both types of the curve are illustrated with examples from the U.S. Treasury market and the U.S. interest rate swap market. The chapter concludes by examining the major changes to the swap curve construction process caused by the financial crisis of 2007–2008 that made a profound impact on the interest rate swap markets.

Term Structure of Interest Rates with B-Spline Model during the Money-Shortage-Event in China

Advanced Materials Research ◽

10.4028/www.scientific.net/amr.989-994.5634 ◽

2014 ◽

Vol 989-994 ◽

pp. 5634-5637

Author(s):

Peng Zheng ◽

Lian Qiang Yang ◽

Zhen Ni Dai

Keyword(s):

Structural Change ◽

Interest Rates ◽

Term Structure ◽

Yield Curves ◽

B Spline ◽

Parametric Test ◽

B Splines ◽

Price Data ◽

Significant Structural Change ◽

Total Test

Using the price data of bonds’ transactions during June 2013, the discounting function is fitted by non-uniform cubic B-Splines and yield curves are modeled. Models’ single parametric test and total test are both significant. Furthermore, the structural change’s test shows that there is no significant structural change between adjacent transaction days, which means that the bonds’ market is relatively steady during June 2013.

Brazilian term structure of interest rate modeling: A Nelson-Siegel approach

Corporate Ownership and Control ◽

10.22495/cocv14i1c3p2 ◽

2016 ◽

Vol 14 (1) ◽

pp. 414-432

Author(s):

Adalto Barbaceia Gonçalves ◽

Felipe Tumenas Marques

Keyword(s):

Interest Rates ◽

Term Structure ◽

Future Research ◽

Model Parameters ◽

Extensive Literature ◽

Bond Markets ◽

Fixed Rate ◽

Yield Curves ◽

Vec Model ◽

Parsimonious Models

Forecasting interest rates structures plays a fundamental role in the fixed income and bond markets. The development of dynamic modeling, especially after Nelson and Siegel (1987) work, parsimonious models based in a few parameter shed light over a new path for the market players. Despite the extensive literature on the term structure of interest rates modeling and the existence in the Brazilian market of various yield curves from different traded asset classes, the literature focused only in the fixed rate curve. In this work we expand the existing literature on modeling the term structure of Brazilian interest rates evaluating all the yield curves of Brazilian market using the methodology proposed by Nelson and Siegel. We use Non Linear Least Squares (NLLS) to estimate the model parameters for almost 10 years of monthly data and model these parameters with the traditional VAR/VEC model. The results show that it is possible to estimate the Nelson Siegel model for the Brazilian curves. It remains for future research the modeling of their variances as well as the possibility to develop a global Brazilian model using Kalman Filter using the Diebold. Li. and Yue (2006) approach.

Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014

Brazilian Review of Finance ◽

10.12660/rbfin.v13n4.2015.56540 ◽

2015 ◽

Vol 13 (4) ◽

pp. 650

Author(s):

Felipe Stona ◽

Jean Amann ◽

Maurício Delago Morais ◽

Divanildo Triches ◽

Igor Clemente Morais

Keyword(s):

Latin America ◽

Interest Rates ◽

Term Structure ◽

Yield Curve ◽

Principal Component ◽

Vector Model ◽

Yield Curves ◽

Macroeconomic Factors ◽

The Relationship ◽

Latin America Countries

This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Specifically, we perform estimations of Nelson-Siegel, Diabold-Li and principal component analysis to test how the change of macroeconomic factors, e.g. inflation, production and unemployment levels affect the yield curves. For Brazil and Mexico, GDP and inflation variables are relevant to change the yield curves, with the former shifting more the level, and the latter with greater influence on the slope. For Chile, inflation had the greatest impact on the level and, specifically for Mexico, the unemployment variable also changed the slope of the yield curve.

Bayesian smoothing spline models and their application in estimating yield curves

10.32469/10355/50137 ◽

2015 ◽

Author(s):

◽

Xiaojun Tong

Keyword(s):

Interest Rates ◽

Term Structure ◽

Yield Curve ◽

Smoothing Spline ◽

Calendar Time ◽

Yield Data ◽

Yield Curves ◽

Adaptive Smoothing ◽

Spline Models ◽

Bayesian Smoothing

[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT AUTHOR'S REQUEST.] The term structure of interest rates, also called the yield curve, is the series of interest rates ordered by term to maturity at a given time. The smoothing spline as a nonparametric regression method has been used widely for fitting a smooth curve due to its flexibility and smoothing properties. In this dissertation, a class of Bayesian smoothing spline models is developed for the yield curve estimation under different scenarios. These include the Bayesian smoothing spline model for estimating the Treasury yield curves, the Bayesian multivariate smoothing spline model for estimating multiple yield curves jointly, the Bayesian adaptive smoothing spline model for dealing with the yield data in which the smoothness varies significantly, the Bayesian smoothing spline model for extracting the zero-coupon yield curve from coupon bond prices, and the Bayesian thin-plate splines for modeling the yield curves on both the calendar time and the maturity. In addition, the Bayesian model selection in the smoothing spline models is developed to test the nonlinearity of the yield curves.