Arbeitspapier
Estimating the German term structure
This paper introduces the Deutsche Bundesbank's new procedure for estimating the term structure of interest rates. It describes the basic methodological approaches used (Nelson and Siegel (1987) and Svensson (1994)) and some fundamental concepts which are important for estimating and interpreting such term structures. It also documents the application of the procedure to the prices of German Federal securities on a monthly basis from September 1972 to December 1996. The new procedure meets the requirements of monetary policy analysis as it represents a good compromise between, on the one hand, maximum approximation to the data and, on the other, smoothness of the curve and hence ease of interpretation for monetary policy purposes.
- ISBN
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3932002717
- Language
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Englisch
- Bibliographic citation
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Series: Discussion Paper ; No. 1997,04e
- Classification
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Wirtschaft
- Subject
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Zinsstruktur
Schätztheorie
Schätzung
Theorie
Deutschland
- Event
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Geistige Schöpfung
- (who)
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Schich, Sebastian T.
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
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1997
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schich, Sebastian T.
- Deutsche Bundesbank
Time of origin
- 1997
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An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
Banks' net interest margin and changes in the term structure
Alternative specifications of the German term structure and its information content regarding inflation
Estimating probabilities of default for German savings banks and credit cooperatives
An affine macro-finance term structure model for the euro area
Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
Long-term outlook for the German statutory pension system
Pricing the Bund term structure with linear regressions : without an observable short rate
Pricing the Bund term structure with linear regressions – without an observable short rate
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Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises