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| Author: | Mansi, S. A. Phillips, J. H. |
| Title: | Modeling the Term Structure from the On-The-Run Treasury Yield Curve |
| Journal: | Journal of Financial Research
2001 : WINTER, VOL. 24:4, p. 545-564 |
| Index terms: | TREASURY BILLS MODELS MODEL TESTING STRUCTURAL ANALYSIS FINANCE |
| Language: | eng |
| Abstract: | The authors propose a new model to estimate the term structure of interest rates using observed on-the-run Treasury yields. The new model is an improvement over models that require a priori knowledge of the shape of the yield curve to estimate the term structure. The general form of the model is an exponential function that depends on the estimation of four parameters fit by nonlinear least squares and has straightforward interpretations. In comparing the proposed model with current yield-curve- smoothing models, the authors find that, for the data used, the proposed model does best overall in terms of pricing accuracy both in sample and out of sample. |
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