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Consistent Nelson and Siegel Yield Curve Models
Angielski
180 b
30 dni na zwrot towaru
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A popular class of yield curve models is based on §the Nelson and Siegel (1987) (hereafter§NS) 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 of§research in their own right: i.e (1) forecasting the §yield curve; (2) investigating relationships§between the yield curve and the macroeconomy; (3) §fixed interest portfolio§management; and (4) investigating the uncovered §interest parity hypothesis (UIPH).
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