| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1594 |
| 来源ID | Working Paper 1594 |
| Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills | |
| Charles R. Nelson; Andrew F. Siegel | |
| 发表日期 | 1985-03-01 |
| 出版年 | 1985 |
| 语种 | 英语 |
| 摘要 | A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research. |
| URL | https://www.nber.org/papers/w1594 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558833 |
| 推荐引用方式 GB/T 7714 | Charles R. Nelson,Andrew F. Siegel. Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills. 1985. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w1594.pdf（772KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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