Government Bonds and the Term Structure of Interest Rates

2004 ◽  
Author(s):  
Emerson Rildo Araújo de Carvalho
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Government Bonds

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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