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Modelling the Yield Curve

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  • Taylor, Mark P

Abstract

This paper utilizes previously unpublished, weekly U.K. interest-rate data from the Bank of England to estimate and test a variety of alternative models of the term structure of interest rates. The rational expectations model is tested and rejected (using an extension of the Campbell-Shiller technique to the overlapping data case) as is a simple risk premium (GARCH) model. The data do, however, support a simple market segmentation model. Copyright 1992 by Royal Economic Society.

Suggested Citation

  • Taylor, Mark P, 1992. "Modelling the Yield Curve," Economic Journal, Royal Economic Society, vol. 102(412), pages 524-537, May.
    • Handle: RePEc:ecj:econjl:v:102:y:1992:i:412:p:524-37
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