Estimation of the term structure of interest rates - A parametric approach
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.
|Date of creation:||21 May 1999|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +43/1/404 20 7205
Fax: +43/1/404 20 7299
Web page: http://www.oenb.at/
More information through EDIRC
|Order Information:|| Postal: Oesterreichische Nationalbank, Economic Studies Division, c/o Beate Hofbauer-Berlakovich, POB 61, A-1011 Vienna, Austria|
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.:
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
- 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.
- 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.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Canova, Fabio & de Nicolò, Gianni, 1997.
"Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective,"
CEPR Discussion Papers
1614, C.E.P.R. Discussion Papers.
- Canova, Fabio & Nicol , Gianni De, 2000. "Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 4(03), pages 343-372, September.
- Fabio Canova & Gianni de Nicolo, 1997. "Stock returns, term structure, inflation and real activity: An international perspective," Economics Working Papers 203, Department of Economics and Business, Universitat Pompeu Fabra.
- 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.
- Smets, Frank & Tsatsaronis, Kostas, 1997. "Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States," CEPR Discussion Papers 1758, C.E.P.R. Discussion Papers.
- Schich, Sebastian T., 1996. "Alternative specifications of the German term structure and its information content regarding inflation," Discussion Paper Series 1: Economic Studies 1996,08e, Deutsche Bundesbank, Research Centre.
- Bernard, Henri & Gerlach, Stefan, 1998.
"Does the Term Structure Predict Recessions? The International Evidence,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 3(3), pages 195-215, July.
- Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements.
- Bernard, Henri J & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," CEPR Discussion Papers 1892, C.E.P.R. Discussion Papers.
- 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..
- 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.
- Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
- Arturo Estrella & Frederic S. Mishkin, 1995.
"The Term Structure of Interest Rates and Its Role in Monetary Policy for The European Central Bank,"
NBER Working Papers
5279, National Bureau of Economic Research, Inc.
- 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.
- McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-30, June.
- Frederic S. Mishkin, 1989. "A Multi-Country Study of the Information in the Term Structure about Future Inflation," NBER Working Papers 3125, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:onb:oenbwp:37. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Markus Knell and Helmut Stix)
If references are entirely missing, you can add them using this form.