Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153308 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
ECB Working Paper No. 874
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely heavily on it. Using a non-parametric resampling technique and zero-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those obtained from the NS model, at a 95 percent confidence level. We therefore conclude that the Nelson and Siegel yield curve model is compatible with arbitrage-freeness. To corroborate this result, we show that the Nelson-Siegel model performs as well as its no-arbitrage counterpart in an out-of-sample fore-casting experiment.
Schlagwörter: 
Affine term structure models
Nelson-Siegel model
No-arbitrage restrictions
non-parametric test
JEL: 
C14
C15
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.25 MB





Publikationen in EconStor sind urheberrechtlich geschützt.