Arbeitspapier
Pricing the Bund term structure with linear regressions – without an observable short rate
Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However, these estimators require an observable short rate, which is not available at a one-month maturity for many markets, including that for German Bunds. This paper introduces new regression-based Difference Estimators that require no observable short rate but are determined from long-term yields only. My new estimators replicate results of the traditional estimators for US Treasuries, although my approaches omit the available US short rate. For German Bund data since 1967, three factors are sufficient to represent the yield curve dynamics, and additional restrictions improve yield forecasts. Implicit short Bund rates are in line with policy interest rates. The term premium is counter-cyclical to business activity and positively related to uncertainty. Thus, the Bund yield decomposition into short-rate expectations and the term premium is suitable for a wide range of policy applications.
- ISBN
-
978-3-95729-939-0
- Sprache
-
Englisch
- Erschienen in
-
Series: Deutsche Bundesbank Discussion Paper ; No. 08/2023
- Klassifikation
-
Wirtschaft
Estimation: General
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Yield Curve
Affine Term Structure Model
Bund Term Premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Speck, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Speck, Christian
- Deutsche Bundesbank
Entstanden
- 2023
Ähnliche Objekte (12)
Pricing the Bund term structure with linear regressions : without an observable short rate
Decomposing the yield curve with linear regressions and survey information
Decomposing the yield curve with linear regressions and survey information
Time-dependent pricing and New Keynesian Phillips curve
Changes in import pricing behaviour: the case of Germany
Foreign direct investment, spillovers and absorptive capacity: evidence from quantile regressions
Has the export pricing behaviour of German enterprises changed? Empirical evidence from German sectoral prices
U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foreign exchange dealer asset pricing
The impact of carbon pricing in a multi-region production network model and an application to climate scenarios
The impact of carbon pricing in a multi-region production network model and an application to climate scenarios
Bracket creep revisited - with and without r>g: Evidence from Germany
Pricing the Bund term structure with linear regressions : without an observable short rate
Decomposing the yield curve with linear regressions and survey information
Decomposing the yield curve with linear regressions and survey information
Time-dependent pricing and New Keynesian Phillips curve
Changes in import pricing behaviour: the case of Germany
Foreign direct investment, spillovers and absorptive capacity: evidence from quantile regressions
Has the export pricing behaviour of German enterprises changed? Empirical evidence from German sectoral prices
U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foreign exchange dealer asset pricing
The impact of carbon pricing in a multi-region production network model and an application to climate scenarios
The impact of carbon pricing in a multi-region production network model and an application to climate scenarios
Bracket creep revisited - with and without r>g: Evidence from Germany
Pricing the Bund term structure with linear regressions : without an observable short rate
Decomposing the yield curve with linear regressions and survey information
Decomposing the yield curve with linear regressions and survey information
Time-dependent pricing and New Keynesian Phillips curve
Changes in import pricing behaviour: the case of Germany
Foreign direct investment, spillovers and absorptive capacity: evidence from quantile regressions
Has the export pricing behaviour of German enterprises changed? Empirical evidence from German sectoral prices
U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foreign exchange dealer asset pricing
The impact of carbon pricing in a multi-region production network model and an application to climate scenarios
The impact of carbon pricing in a multi-region production network model and an application to climate scenarios