Arbeitspapier
A simple approach to estimate long-term interest rates
We propose an easy to implement yield curve extrapolation method to determine long-term interest rates suitable for regulatory valuation. We empirically evaluate this approach for the German nominal bond market, by estimating the model on bonds with maturities up to 20 years and assessing the out-of-sample performance for bonds with maturities beyond 20 years. Even though observed long-term yields are somewhat lower than the predicted yields, the method performs quite well empirically given its simplicity. We perform a case study on pension fund liability valuation and show that our proposed method would have a substantial impact on liability values.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 238
- Klassifikation
-
Wirtschaft
Financial Crises
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
General Financial Markets: Government Policy and Regulation
- Thema
-
Sovereign Bonds
Term Structure of Interest Rates
Segmentation
Liquidity
Flight-to-safety
Credit Risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Driessen, Joost
Nijman, Theodore E.
Simon, Zorka
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Institute for Financial Research SAFE
- (wo)
-
Frankfurt a. M.
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 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
- Driessen, Joost
- Nijman, Theodore E.
- Simon, Zorka
- Leibniz Institute for Financial Research SAFE
Entstanden
- 2022
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