MARC Record from Library of Congress

LEADER: 01901cam a22003017a 4500
001 2007616710
003 DLC
005 20071201091511.0
007 cr |||||||||||
008 071130s2007 mau sb 000 0 eng
010 $a 2007616710
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aDiebold, Francis X.,$d1959-
245 10 $aGlobal yield curve dynamics and interactions:a dynamic nelson-siegel approach$h[electronic resource] /$cFrancis X. Diebold, Canlin Li, Vivian Z. Yue.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2007.
490 1 $aNBER working paper series ;$vworking paper 13588
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 11/30/2007.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries"--National Bureau of Economic Research web site.
700 1 $aLi, Canlin.
700 1 $aYue, Vivian Z.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 13588.
856 40 $uhttp://papers.nber.org/papers/w13588