01678cam a22002297 4500001000600000003000500006005001700011008004100028100002300069245012900092260006600221490004100287500002000328520075400348530006101102538007201163538003601235700002201271710004201293830007601335856003701411w1594NBER20140423201219.0140423s1988 mau||||fs|||| 000 0 eng d1 aNelson, Charles R.10aParsimoneous Modeling of Yield Curves for U.S. Treasury Billsh[electronic resource] /cCharles R. Nelson, Andrew F. Siegel. aCambridge, Mass.bNational Bureau of Economic Researchc1988.1 aNBER working paper seriesvno. w1594 aSeptember 1988.3 aA new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.1 aSiegel, Andrew F.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w1594.4 uhttp://www.nber.org/papers/w1594