Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach

  • 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.

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Metadaten
Author:Francis X. Diebold, Canlin Li, Vivian Z. Yue
URN:urn:nbn:de:hebis:30-57654
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,27
Series (Serial Number):CFS working paper series (2008, 27)
Document Type:Working Paper
Language:English
Year of Completion:2008
Year of first Publication:2008
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2008/09/24
Tag:Bond Market; Dynamic Factor Model; Global Yield; Interest Rate; Term Structure; World Yield
GND Keyword:Zinsertragskurve
HeBIS-PPN:205701493
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C5 Econometric Modeling
Licence (German):License LogoDeutsches Urheberrecht