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Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 05-083/2
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient conditions under which level, slope and curvature are present. These conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our conjecture that the order present in correlation matrices causes slope.
Schlagwörter: 
Principal components analysis
correlation matrix
total positivity
oscillation matrix
Schoenmakers-Coffey matrix
JEL: 
C50
C60
G10
Dokumentart: 
Working Paper
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