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Parameter Stability in Yield Curve Fitting

In: New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Lorenzo Mercuri

    (University of Milan, Department of Economics and Quantitative Methods)

  • Andrea Perchiazzo

    (University of Milan, Department of Economics and Quantitative Methods)

  • Edit Rroji

    (University of Milano-Bicocca, Department of Statistics and Quantitative Methods)

  • Ilaria Stefani

    (University of Parma, Department of Economics and Business Sciences)

Abstract

We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020–2025.

Suggested Citation

  • Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji & Ilaria Stefani, 2025. "Parameter Stability in Yield Curve Fitting," Springer Books, in: Michele La Rocca & Massimiliano Menzietti & Cira Perna & Marilena Sibillo (ed.), New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 179-189, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-05551-4_16
    DOI: 10.1007/978-3-032-05551-4_16
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