Estimating the spot rate curve using the Nelson–Siegel model

Annaert, Jan; Claes, Anouk G.P.; Ceuster, Marc J.K. De; Zhang, Hairui

doi:10.1016/j.iref.2013.01.005

Cited by 35 publications

(1 citation statement)

References 22 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Note, from the Expression 4, that by definition, there is multicollinearity between the regressors. We apply the methodology of Gimeno and Nave (2019), Gauthier and Simonato (2012), Annaert et al (2013) and González-Sánchez (2018) to estimate Expression 4, avoiding this drawback.…”

Section: Literature Reviewmentioning

confidence: 99%

Comparative analysis of interest rate term structures in the Solvency II environment

Sánchez

Rodriguez-Sanchez

2020

JRF

View full text Add to dashboard Cite

Purpose Solvency-II is the current regulatory framework of insurance companies in the European Union. Under this standard, European Insurance and Occupational Pension Authority (EIOPA), as a regulatory board, has established that the Smith–Wilson (SW) model can be used as the model to estimate interest rate curve. This paper aims to analyze whether this model adjusts to the market curve better than Nelson–Siegel (NS) and whether the values set for the parameters are adequate. Design/methodology/approach This empirical study analyzes whether the SW interest rate curve shows lower root mean squared errors than the NS curve for a sample of daily prices of Spanish Government bonds between 2014 and 2019. Findings The results indicate that NS adjusts the market data better, the parameters recommended by the EIOPA correspond to the maximum values observed in the sample period and the current recommended curve for insurance companies underestimates company operations. Originality/value This paper verifies that the criterion of the last liquid point does not allow for selecting an optimal sample to adjust the curve and criteria based on prices without arbitrage opportunities are more appropriate.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Comparative analysis of interest rate term structures in the Solvency II environment

Sánchez

Rodriguez-Sanchez

2020

JRF

View full text Add to dashboard Cite

show abstract

Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment

Çepni

Güney

Küçüksaraç

et al. 2021

Journal of Forecasting

View full text Add to dashboard Cite

This paper investigates the relation between yield curve and macroeconomic factors for 10 emerging sovereign bond markets using the sample from January 2006 to April 2019. To this end, the diffusion indices obtained under four categories (global variables, inflation, domestic financial variables, and economic activity) are incorporated by estimating dynamic panel data regressions together with the yield curve factors. Besides, in order to capture dynamic interaction between yield curve and macroeconomic/financial factors, a panel vector autoregressive (VAR) analysis based on the system generalized method of moments (GMM) approach is utilized. Empirical results suggest that the level factor responds to shocks originated from inflation, domestic financial variables, and global variables. Furthermore, the slope factor is affected by shocks in global variables, and the curvature factor appears to be influenced by domestic financial variables. We also show that macroeconomic/financial factors captures significant predictive information over yield curve factors by running individual country factor-augmented predictive regressions and variable selection algorithms such ridge regression, least absolute shrinkage operator (LASSO), and Elastic Net. Our findings have important implications for policymakers and fund managers by explaining the underlying forces of movements in the yield curve and forecasting accurately dynamics of yield curve factors.

show abstract

Yield Curve Estimation Under Extreme Conditions: Do RBF Networks Perform Better?

Cafferata

Giribone²,

Neffelli

et al. 2018

Neural Advances in Processing Nonlinear Dynamic Signals

View full text Add to dashboard Cite

Estimating the spot rate curve using the Nelson–Siegel model

Cited by 35 publications

References 22 publications

Comparative analysis of interest rate term structures in the Solvency II environment

Comparative analysis of interest rate term structures in the Solvency II environment

Do local and global factors impact the emerging markets' sovereign yield curves? Evidence from a data‐rich environment

Yield Curve Estimation Under Extreme Conditions: Do RBF Networks Perform Better?

Contact Info

Product

Resources

About