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Schätzung der deutschen Zinsstrukturkurve

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  • Schich, Sebastian T.

Abstract

Die vorliegende Arbeit stellt das neue Verfahren der Deutschen Bundesbank zur Schätzung von Zinsstrukturkurven vor. Sie beschreibt dessen methodische Grundlagen (Nelson und Siegel (1987) und Svensson (1994)) und einige grundlegende Konzepte, die ftir die Schätzung und Interpretation solcher Kurven bedeutsam sind. Weiterhin dokumentiert die Arbeit die Anwendung des Verfahrens auf die Preise von deutschen Bundeswertpapieren auf monatlicher Basis von September 1972 bis Dezember 1996. Das Verfahren genügt den Ansprüchen der geldpolitischen Analyse. Und zwar stellt es einen guten Kompromiß zwischen der möglichst genauen Beschreibung der Daten auf der einen und der Glätte und damit der Interpretierbarkeit aus geldpolitischer Sicht auf der anderen Seite dar.

Suggested Citation

  • Schich, Sebastian T., 1997. "Schätzung der deutschen Zinsstrukturkurve," Discussion Paper Series 1: Economic Studies 1997,04, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:199704
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    References listed on IDEAS

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    1. Svensson, Lars E O, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers 1051, C.E.P.R. Discussion Papers.
    2. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
    3. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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    Cited by:

    1. Memmel, Christoph, 2011. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 282-289, February.
    2. Christoph Memmel, 2008. "Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(1), pages 85-104.
    3. Busch, Ramona & Memmel, Christoph, 2015. "Banks' net interest margin and the level of interest rates," Discussion Papers 16/2015, Deutsche Bundesbank.

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