The functional form of yield curves
AbstractYield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible interpretations of this phenomenon. JEL Classification: G10, G12, G13
Download InfoIf 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.
Bibliographic InfoPaper provided by European Central Bank in its series Working Paper Series with number 0148.
Date of creation: May 2002
Date of revision:
Contact details of provider:
Postal: Postfach 16 03 19, Frankfurt am Main, Germany
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Web page: http://www.ecb.europa.eu/home/html/index.en.html
More information through EDIRC
Postal: Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Claus Brand & Daniel Buncic & Jarkko Turunen, 2010.
"The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve,"
Journal of the European Economic Association,
MIT Press, vol. 8(6), pages 1266-1298, December.
- Claus Brand & Daniel Buncic & Jarkko Turunen, 2008. "The Impact of ECB Monetary Policy Decisions and Communication on the Yield Curve," Discussion Papers 2008-11, School of Economics, The University of New South Wales.
- Brand, Claus & Buncic, Daniel & Turunen, Jarkko, 2006. "The impact of ECB monetary policy decisions and communication on the yield curve," Working Paper Series 0657, European Central Bank.
- Manousopoulos, Polychronis & Michalopoulos, Michalis, 2009. "Comparison of non-linear optimization algorithms for yield curve estimation," European Journal of Operational Research, Elsevier, vol. 192(2), pages 594-602, January.
- Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006.
"The macroeconomy and the yield curve: a dynamic latent factor approach,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 309-338.
- Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004. "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers 10616, National Bureau of Economic Research, Inc.
- Tom Doan, . "RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model," Statistical Software Components RTZ00047, Boston College Department of Economics.
- David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Working Papers 04-48, Bank of Canada.
- Brousseau, Vincent & Durré, Alain, 2013. "Interest rate volatility: a consol rate-based measure," Working Paper Series 1505, European Central Bank.
- Konstantijn Maes, 2004.
"Modeling the Term Structure of Interest Rates: Where Do We Stand?,"
Working Paper Research
42, National Bank of Belgium.
- Konstantijn Maes & Konstantijn Maes, 2003. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," International Economics Working Papers Series wpie008, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- repec:fip:fedfap:2003-18 is not listed on IDEAS
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Official Publications).
If references are entirely missing, you can add them using this form.