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.
| 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: | Universitätsbibliothek 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): |  Deutsches Urheberrecht |
