A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/16016 |
Resumo: | The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used by central banks to estimate the term structure of interest rates. The objective of this study is to evaluate the application of the NSS model to fit the yield curve of a set of 20 countries, the majority from the Eurozone, which registered negative sovereign bond yields. We conclude that the model adjusted well for all countries’ yield curves, although no changes or constraints were introduced. In addition, a comparison was carried out between market instantaneous interest rate and the interest rate for the very distant future, which the model can predict, with good results for the instantaneous interest rate. An evaluation of the possible behaviour of shared debt securities (i.e. Eurobonds) was also analysed. In conclusion, the NSS model seems to remain a valuable, easy to use, and adaptable tool, to fit negative yield curves, for monetary policy institutions and market players alike. |
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A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield casesyield curvenegative bond yieldsEurobondsNelson-Siegel-Svensson modelThe appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used by central banks to estimate the term structure of interest rates. The objective of this study is to evaluate the application of the NSS model to fit the yield curve of a set of 20 countries, the majority from the Eurozone, which registered negative sovereign bond yields. We conclude that the model adjusted well for all countries’ yield curves, although no changes or constraints were introduced. In addition, a comparison was carried out between market instantaneous interest rate and the interest rate for the very distant future, which the model can predict, with good results for the instantaneous interest rate. An evaluation of the possible behaviour of shared debt securities (i.e. Eurobonds) was also analysed. In conclusion, the NSS model seems to remain a valuable, easy to use, and adaptable tool, to fit negative yield curves, for monetary policy institutions and market players alike.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaGarcia, Maria TeresaCarvalho, Vítor Hugo Ferreira2018-10-01T10:10:44Z2018-032018-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/16016engGarcia, Maria Teresa e Vítor Hugo Ferreira Carvalho (2018). "A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases". Instituto Superior de Economia e Gestão – REM Working paper nº 035 - 20182184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:53Zoai:www.repository.utl.pt:10400.5/16016Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:31.593776Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases |
title |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases |
spellingShingle |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases Garcia, Maria Teresa yield curve negative bond yields Eurobonds Nelson-Siegel-Svensson model |
title_short |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases |
title_full |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases |
title_fullStr |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases |
title_full_unstemmed |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases |
title_sort |
A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases |
author |
Garcia, Maria Teresa |
author_facet |
Garcia, Maria Teresa Carvalho, Vítor Hugo Ferreira |
author_role |
author |
author2 |
Carvalho, Vítor Hugo Ferreira |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Garcia, Maria Teresa Carvalho, Vítor Hugo Ferreira |
dc.subject.por.fl_str_mv |
yield curve negative bond yields Eurobonds Nelson-Siegel-Svensson model |
topic |
yield curve negative bond yields Eurobonds Nelson-Siegel-Svensson model |
description |
The appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used by central banks to estimate the term structure of interest rates. The objective of this study is to evaluate the application of the NSS model to fit the yield curve of a set of 20 countries, the majority from the Eurozone, which registered negative sovereign bond yields. We conclude that the model adjusted well for all countries’ yield curves, although no changes or constraints were introduced. In addition, a comparison was carried out between market instantaneous interest rate and the interest rate for the very distant future, which the model can predict, with good results for the instantaneous interest rate. An evaluation of the possible behaviour of shared debt securities (i.e. Eurobonds) was also analysed. In conclusion, the NSS model seems to remain a valuable, easy to use, and adaptable tool, to fit negative yield curves, for monetary policy institutions and market players alike. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-10-01T10:10:44Z 2018-03 2018-03-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/16016 |
url |
http://hdl.handle.net/10400.5/16016 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Garcia, Maria Teresa e Vítor Hugo Ferreira Carvalho (2018). "A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield cases". Instituto Superior de Economia e Gestão – REM Working paper nº 035 - 2018 2184-108X |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131104056180736 |