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A parametric study of the term structure dynamics

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  • Bernaschi, Massimo
  • Tacconi, Elisa
  • Vergni, Davide

Abstract

We present an analysis of the dynamics of the term structure of interest rates based on the study of the time evolution of the parameters of a variation of the Nelson–Siegel model. The results show that it is extremely difficult to find a relation between the evolution of the term structure and the behavior of macroeconomic variables different from the official interest rate.

Suggested Citation

  • Bernaschi, Massimo & Tacconi, Elisa & Vergni, Davide, 2008. "A parametric study of the term structure dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1264-1272.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:5:p:1264-1272
    DOI: 10.1016/j.physa.2007.10.074
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    References listed on IDEAS

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