The changing relation between the Canadian and U.S. yield curves

Wong, Edwin S.; Lucia, Kathlyn; Price, Stephanie; Startz, Richard

doi:10.1016/j.jimonfin.2011.06.002

Cited by 5 publications

(1 citation statement)

References 22 publications

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“…Krippner (2006b) and Chen and Tsang (2009); and investigating international yield curve linkages, e.g. Wong, Lucia, Price and Startz (2011). similarity of the Level, Slope, and Curvature components to the …rst three principal components of the term structure), and their success in past applications.…”

Section: Introductionmentioning

confidence: 99%

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

Krippner

2011

SSRN Journal

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Yield curve models within the popular Nelson and Siegel (hereafter NS) class are shown to arise from a formal low-order Taylor approximation to the generic Gaussian a¢ ne term structure model. That theoretical foundation provides an assurance that NS models correspond to a well-accepted framework for yield curve modeling. It further suggests that any yield curve from the GATSM class should be parsimoniously representable by an two-factor arbitrage-free NS model, which should prove useful for macro…nance applications. Such a model is derived and applied to provide evidence for changes in United States yield curve dynamics pre-and post-1988. JEL: E43, G12, C58 Keywords: yield curve; term structure of interest rates; Nelson and Siegel model; a¢ ne term structure models.

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Section: Introductionmentioning

confidence: 99%

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

Krippner

2011

SSRN Journal

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Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study

Akimov

Stevenson

Zagonov

2015

J Real Estate Finan Econ

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Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slop and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007-9 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although the analysis does examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure. Keywords securitised real estate, interest rate risk, yield curve modeling * The authors greatly appreciate the comments of the anonymous referees whose comments substantially improved the paper.

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Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models

Levant¹,

2016

Journal of Empirical Finance

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The changing relation between the Canadian and U.S. yield curves

Cited by 5 publications

References 22 publications

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study

Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models

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