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http://hdl.handle.net/10419/43269
  
Title:Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach PDF Logo
Authors:Diebold, Francis X.
Li, Canlin
Yue, Vivian Z.
Issue Date:2007
Series/Report no.:CFS Working Paper 2008/27
Abstract: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.
Subjects:Term Structure
Interest Rate
Dynamic Factor Model
Global Yield
World Yield
Bond Market
JEL:G1
E4
C5
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-57654
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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