Title of article
A parametric study of the term structure dynamics
Author/Authors
Massimo Bernaschi، نويسنده , , Elisa Tacconi، نويسنده , , Davide Vergni، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
9
From page
1264
To page
1272
Abstract
We present an analysis of the dynamics of the term structure of interest rates based on the study of the time evolution of the parameters of a variation of the Nelson–Siegel model. The results show that it is extremely difficult to find a relation between the evolution of the term structure and the behavior of macroeconomic variables different from the official interest rate.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2008
Journal title
Physica A Statistical Mechanics and its Applications
Record number
872305
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