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Estimation of the Term Structure of Interest Rates; A Parametric Approach

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Author Info
Alois Geyer () (Institut fuer quantitative Unternehmensfuehrung)
Richard Mader () (Oesterreichische Nationalbank)

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Abstract

Readily available information about the current term structure of interest rates, its level and recent trends in important countries has become a standard tool of monetary policy analysis. Interest rate curves can be used for inflation and output forecasts, they may give useful indications about the differences in regional monetary stance and contain information about market expectations of future changes in interest rates. This information can facilitate the implementation of monetary policy, for example by judging the timing of the central bank's market operations. For comparative purposes it is important to use a common technique to estimate the term structure for all countries. This report presents the results of using parametric estimating models of the term structure for Austria, Germany, UK, USA and Japan over the period 1993 to 1998.

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File URL: http://www.oenb.at/de/img/wp37_tcm14-6110.pdf
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Publisher Info
Paper provided by Oesterreichische Nationalbank (Austrian Central Bank) in its series Working Papers with number 37.

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Length: 42 pages
Date of creation: 21 May 1999
Date of revision:
Handle: RePEc:onb:oenbwp:37

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Postal: Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria
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Keywords: term structure of interest rates estimation econometric models

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements. [Downloadable!]
    Other versions:
  2. Joseph R. Dziwura & Eric M. Green, 1996. "Interest rate expectations and the shape of the yield curve," Research Paper 9631, Federal Reserve Bank of New York. [Downloadable!]
  3. Canova, Fabio & de Nicolo, Gianni, 1997. "Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective," CEPR Discussion Papers 1614, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  4. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-76, June. [Downloadable!] (restricted)
    Other versions:
  5. Davis, E Philip & Fagan, Gabriel, 1997. "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 701-14, Nov.-Dec.. [Downloadable!]
  6. Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March. [Downloadable!] (restricted)
  7. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October. [Downloadable!] (restricted)
  8. Kostas Tsatsaronis & Frank Smets, 1997. "Why does the yield curve predict economic activity? Dissecting the evidence for Germany and the United States," BIS Working Papers 49, Bank for International Settlements. [Downloadable!]
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  9. Arturo Estrella & Frederic S. Mishkin, 1995. "The term structure of interest rates and its role in monetary policy for the European Central Bank," Research Paper 9526, Federal Reserve Bank of New York. [Downloadable!]
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  10. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-30, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Landschoot, A. van, 2003. "The term structure of credit spreads on euro corporate bonds," Discussion Paper 46, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Astrid Van Landschoot, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank. [Downloadable!]
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