TY  - UNPD
A1  - Diebold, Francis X.
A1  - Li, Canlin
A1  - Yue, Vivian Z.
T1  - Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,27
N2  - The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.
T3  - CFS working paper series - 2008, 27 
KW  - Term Structure
KW  - Interest Rate
KW  - Dynamic Factor Model
KW  - Global Yield
KW  - World Yield
KW  - Bond Market
KW  - Zinsertragskurve
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/5827
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-57654
ER  -