TY - JOUR
AU - Nelson,Charles R.
AU - Siegel,Andrew F.
TI - Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
JF - National Bureau of Economic Research Working Paper Series
VL - No. 1594
PY - 1985
Y2 - March 1985
DO - 10.3386/w1594
UR - http://www.nber.org/papers/w1594
L1 - http://www.nber.org/papers/w1594.pdf
N1 - Author contact info:
Charles Nelson
Department of Economics
University of Washington
Seattle, WA 93195
E-Mail: cnelson@u.washington.edu
Andrew Siegel
AB - A 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.
ER -