Arbeitspapier
The term structure of interest rates: Estimation and interpretation
This document reports the currently used term structure estimation method at the Bank of Finland and discusses interpretation of the results it generates.We start by introducing two widely used term structure estimation methods: the Cubic Spline Function method and the Nelson-Siegel approach.We compare their results, paying special attention to the smoothness of forward interest rates and distribution of pricing errors.Next, we introduce the Bank of Finland's method, commenting on its strenghts and weaknesses. Finally, we discuss interpretation of the term structure of interest rates with emphasis on the inflation expectations and the role of the time-varying risk premia.
- ISBN
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951-686-514-3
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Discussion Papers ; No. 19/1996
- Classification
-
Wirtschaft
- Subject
-
term structure of interest rates
cubic splines
Nelson-Siegel
forward interest rates
relative value
inflation expectations
time-varying risk premia
- Event
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Geistige Schöpfung
- (who)
-
Seppälä, Juha
Viertiö, Petri
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
-
1996
- 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
- Seppälä, Juha
- Viertiö, Petri
- Bank of Finland
Time of origin
- 1996
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