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
-
3932002717
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 1997,04e
- Klassifikation
-
Wirtschaft
- Thema
-
Zinsstruktur
Schätztheorie
Schätzung
Theorie
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schich, Sebastian T.
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
1997
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schich, Sebastian T.
- Deutsche Bundesbank
Entstanden
- 1997
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