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Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada

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  • David Jamieson Bolder
  • Scott Gusba

Abstract

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Suggested Citation

  • David Jamieson Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers 02-29, Bank of Canada.
  • Handle: RePEc:bca:bocawp:02-29
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    References listed on IDEAS

    as
    1. Mark Fisher, 2001. "Forces that shape the yield curve: Parts 1 and 2," FRB Atlanta Working Paper 2001-3, Federal Reserve Bank of Atlanta.
    2. Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2006. "Flexible Term Structure Estimation: Which Method is Preferred?," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 63(1), pages 99-122, February.
    3. Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
    4. Shea, Gary S, 1985. " Interest Rate Term Structure Estimation with Exponential Splines: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 319-325, March.
    5. Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
    6. Robert R. Bliss, 1996. "Testing term structure estimation methods," FRB Atlanta Working Paper 96-12, Federal Reserve Bank of Atlanta.
    7. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    8. Schich, Sebastian T., 1997. "Estimating the German term structure," Discussion Paper Series 1: Economic Studies 1997,04e, Deutsche Bundesbank.
    9. Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," FRB Atlanta Working Paper 97-10, Federal Reserve Bank of Atlanta.
    10. Bolder, David & Streliski, David, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," BORRADORES DE ECONOMIA 010502, BANCO DE LA REPÚBLICA.
    2. Marcello Pericoli, 2014. "Real Term Structure and Inflation Compensation in the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 1-42, March.
    3. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
    4. Polychronis Manousopoulos & Michalis Michalopoulos, 2015. "Term structure of interest rates estimation using rational Chebyshev functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 119-146, October.
    5. David Jamieson Bolder, 2003. "A Stochastic Simulation Framework for the Government of Canada's Debt Strategy," Staff Working Papers 03-10, Bank of Canada.
    6. David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Staff Working Papers 04-48, Bank of Canada.
    7. Kargin, V. & Onatski, A., 2008. "Curve forecasting by functional autoregression," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2508-2526, November.
    8. Ganchev, Alexander, 2009. "Modeling the yield curve of spot interest rates under the conditions in Bulgaria," MPRA Paper 70048, University Library of Munich, Germany.
    9. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
    10. Wong, Edwin & Lucia, Kathlyn & Price, Stephanie & Startz, Richard, 2011. "The changing relation between the Canadian and U.S. yield curves," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 965-981, October.
    11. David Jamieson Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
    12. Hana Hladíková & Jarmila Radová, 2012. "Term Structure Modelling by Using Nelson-Siegel Model," European Financial and Accounting Journal, University of Economics, Prague, vol. 2012(2), pages 36-55.
    13. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
    14. Christensen, Ian & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Staff Working Papers 04-43, Bank of Canada.
    15. David Jamieson Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
    16. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2015. "Liquidity and credit premia in the yields of highly-rated sovereign bonds," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 160-173.
    17. Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "Measuring Limits of Arbitrage in Fixed-Income Markets," Staff Working Papers 17-44, Bank of Canada.
    18. Andraz Grum, 2007. "Lessons from Nominal Convergence in Slovenia," Post-Communist Economies, Taylor & Francis Journals, vol. 19(2), pages 255-262.
    19. Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
    20. Hans-Jürg Büttler, 2007. "An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates," Working Papers 2007-08, Swiss National Bank.
    21. C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers 2004/03, Bogazici University, Department of Economics.
    22. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Staff Working Papers 07-49, Bank of Canada.

    More about this item

    Keywords

    Interest rates; Econometric and statistical methods; Financial markets;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets

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