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dc.contributor.authorDiebold, Francis X.en_US
dc.contributor.authorLi, Canlinen_US
dc.contributor.authorYue, Vivian Z.en_US
dc.date.accessioned2009-05-06en_US
dc.date.accessioned2010-12-15T09:22:53Z-
dc.date.available2010-12-15T09:22:53Z-
dc.date.issued2007en_US
dc.identifier.piurn:nbn:de:hebis:30-57654-
dc.identifier.urihttp://hdl.handle.net/10419/43269-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2008/27en_US
dc.subject.jelG1en_US
dc.subject.jelE4en_US
dc.subject.jelC5en_US
dc.subject.ddc330en_US
dc.subject.keywordTerm Structureen_US
dc.subject.keywordInterest Rateen_US
dc.subject.keywordDynamic Factor Modelen_US
dc.subject.keywordGlobal Yielden_US
dc.subject.keywordWorld Yielden_US
dc.subject.keywordBond Marketen_US
dc.subject.stwRentenmarkten_US
dc.subject.stwKapitalertragen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwDeutschlanden_US
dc.subject.stwJapanen_US
dc.subject.stwGroßbritannienen_US
dc.subject.stwUSAen_US
dc.titleGlobal yield curve dynamics and interactions: A dynamic Nelson-Siegel approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn599228946en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200827-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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