Federal Reserve Board
Institutional Affiliation: Federal Reserve Board
NBER Working Papers and Publications
|November 2007||Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach|
with Francis X. Diebold, Vivian Z. Yue: w13588
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.
Published: Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008.
"Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach,"
Journal of Econometrics,
Elsevier, vol. 146(2), pages 351-363, October.
citation courtesy of
|October 2003||Forecasting the Term Structure of Government Bond Yields|
with Francis X. Diebold: w10048
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross section of interest rates at any given time but neglects time-series dynamics, nor the equilibrium approach, which focuses on time-series dynamics (primarily those of the instantaneous rate) but pays comparatively little attention to fitting the entire cross section at any given time and has been shown to forecast poorly. Instead, we use variations on the Nelson-Siegel exponential components framework to model the entire yield curve, period-by-period, as a three dimensional parameter evolving dynamica...
Published: Diebold, Francis X. and Canlin Li. "Forecasting The Term Structure Of Government Bond Yields," Journal of Econometrics, 2006, v130(2,Feb), 337-364. citation courtesy of