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dc.contributor.authorDiebold, Francis X.en
dc.contributor.authorLi, Canlinen
dc.contributor.authorYue, Vivian Z.en
dc.date.accessioned2009-05-06-
dc.date.accessioned2010-12-15T09:22:53Z-
dc.date.available2010-12-15T09:22:53Z-
dc.date.issued2007-
dc.identifier.piurn:nbn:de:hebis:30-57654en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2008/27en
dc.subject.jelG1en
dc.subject.jelE4en
dc.subject.jelC5en
dc.subject.ddc330en
dc.subject.keywordTerm Structureen
dc.subject.keywordInterest Rateen
dc.subject.keywordDynamic Factor Modelen
dc.subject.keywordGlobal Yielden
dc.subject.keywordWorld Yielden
dc.subject.keywordBond Marketen
dc.subject.stwRentenmarkten
dc.subject.stwKapitalertragen
dc.subject.stwZinsstrukturen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwDeutschlanden
dc.subject.stwJapanen
dc.subject.stwGroßbritannienen
dc.subject.stwUSAen
dc.titleGlobal yield curve dynamics and interactions: A dynamic Nelson-Siegel approach-
dc.typeWorking Paperen
dc.identifier.ppn599228946en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200827en

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