Advanced Search
MyIDEAS: Login

Facts, Factors, and Questions
[Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach]

Contents:

Author Info

  • Francis X. Diebold

    (Department of Economics, University of Pennsylvania
    Wharton School, University of Pennsylvania)

  • Glenn D. Rudebusch

    (Federal Reserve Bank of San Francisco)

Abstract

Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://press.princeton.edu/chapters/s9895.pdf
Download Restriction: no

Bibliographic Info

as in new window

This chapter was published in: Francis X. Diebold & Glenn D. Rudebusch , Princeton University Press, Princeton, NJ, pages , 2012.

This item is provided by Princeton University Press in its series Introductory Chapters with number 9895-1.

Handle: RePEc:pup:chapts:9895-1

Contact details of provider:
Web page: http://press.princeton.edu

Related research

Keywords: yield curve; modeling; forecasting; dynamic; Nelson-Siegel; pricing financial assets; managing financial risk; allocating portfolios; fiscal debt; monetary policy; valuing capital goods; yield curve models; Nelson; Siegel; DNS; AFNS; arbitrage-free; efficient-market; Econometric Lectures; Tinbergen Institute;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pup:chapts:9895-1. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Webmaster).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.