Consistent Nelson and Siegel Yield Curve Models : Derivation and Applications

ISBN-13: 9783639155440 / Angielski / Miękka / 2009 / 168 str.

Leo Krippner

Opis

A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafterNS) approach of fitting yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics.This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas ofresearch in their own right: i.e (1) forecasting the yield curve; (2) investigating relationshipsbetween the yield curve and the macroeconomy; (3) fixed interest portfoliomanagement; and (4) investigating the uncovered interest parity hypothesis (UIPH).

O autorze

Leo Krippner obtained a PhD in finance and economics at the
University of Waikato, and works as a Senior Advisor: Research
at the Reserve Bank of New Zealand. He has previously worked at
the New Zealand Treasury and in private sector funds management.