search query: @author Nelson, C. R. / total: 7
reference: 6 / 7
| Author: | Nelson, C. R. Siegel, A. P. |
| Title: | Parsimonious modelling of yield curves |
| Journal: | Journal of Business
1987 : OCT, VOL. 60:4, p.473-489 |
| Index terms: | FINANCE |
| Language: | eng |
| Abstract: | A simple, parametrically parsimonious model is introduced, that is flexible enough to represent the range of shapes generally associated with yield curves: monotonic, humped, and S shaped. The model is found to explain 96 per cent of variations in bill yields across maturities during 1981-83. The movement of parameters confirm a change in Federal Reserve monetary policy in 1982, at which time it is said to have switched from stabilizing the monetary aggregates to stabilizing interest rates. The ability of the model to fit bill yields and to predict the price of a long-term Treasury bond suggests that the model captures important attributes of the yield/maturity relation. |
SCIMA