Estimation of the term structure of interest rates with German government bonds

1991 ◽  
Vol 32 (1) ◽  
pp. 321-330 ◽  
Author(s):  
G. Lassak
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
German Government ◽  
Government Bonds

Yen surge to question global monetary easing's effects

2016 ◽  
Keyword(s):  
Interest Rates ◽  
Central Banks ◽  
Recent Improvement ◽  
German Government ◽  
Monetary Policies ◽  
Government Bonds ◽  
Content Type ◽  
Negative Interest Rates ◽  
The Us ◽  
Fiscal Support

Significance Despite aggressive easing by both the Bank of Japan (BoJ) and the ECB, including negative interest rates, the lowering of expectations over the scale and pace of rate hikes by the US Federal Reserve (Fed) has negated their attempts to weaken their currencies and thus boost export-driven growth. This is heightening concern that ultra-loose monetary policies have passed the point where they can revive growth and inflation. Impacts Despite the recent improvement due to the oil price rebound since mid-February, sentiment towards EM currencies will remain fragile. The still strong demand for 'safe-haven' assets, such as German government bonds and gold, implies investors will remain cautious. Negative deposit rates will further undermine banks' earnings, amid persistent concerns about capital levels. Central banks will reach the limits of their capacity to promote growth without fiscal support from governments.

scholarly journals Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve

2016 ◽  
Vol 62 (2) ◽  
pp. 42-50 ◽  
Author(s):  
Eva Lorenčič
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Financial Market ◽  
Real World ◽  
Yield Curve ◽  
Cubic Splines ◽  
Medium Term ◽  
Government Bonds ◽  
The Real ◽  
The Relationship

Abstract Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of monetary and financial economics. Accurately fitting the term structure of interest rates is the backbone of a smoothly functioning financial market, which is why the testing of various models for estimating and predicting the term structure of interest rates is an important topic in finance that has received considerable attention for many decades. In this paper, we empirically contrast the performance of cubic splines and the Nelson-Siegel model by estimating the zero-coupon yields of Austrian government bonds. The main conclusion that can be drawn from the results of the calculations is that the Nelson-Siegel model outperforms cubic splines at the short end of the yield curve (up to 2 years), whereas for medium-term maturities (2 to 10 years) the fitting performance of both models is comparable.

The Information Content of the Term Structure of Interest Rates in Emerging Economies: The Case of Thailand

2017 ◽  
Vol 16 (2) ◽  
pp. 136-150 ◽  
Author(s):  
Archawa Paweenawat
Keyword(s):  
Interest Rates ◽  
Information Content ◽  
Term Structure ◽  
Emerging Economies ◽  
Jel Classification ◽  
Gdp Growth ◽  
Government Bond ◽  
Government Bonds ◽  
Monthly Data ◽  
Thai Government

This article studies the information content of the term structure of interest rates of Thai government bonds. Using monthly data from July 2001 to December 2013, this article tests whether the term structure contains information about future interest rates, inflation and gross domestic product (GDP) growth. The results suggest that, despite the low liquidity of the Thai government bond market, the term structure contains considerable information about future interest rates and GDP growth. JEL Classification: E43, E44, G12

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