Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/194010
Authors: 
Nymand-Andersen, Per
Year of Publication: 
2018
Series/Report no.: 
ECB Statistics Paper 27
Abstract: 
The European Central Bank (ECB), as part of its forward-looking strategy, needs high-quality financial market statistical indicators as a means to facilitate evidence-based and sound decision-making. Such indicators include timely market intelligence and information to gauge investors' expectations and reaction functions with regard to policy decisions. The main use of yield curve estimations from an ECB monetary policy perspective is to obtain a proper empirical representation of the term structure of interest rates for the euro area which can be interpreted in terms of market expectations of monetary policy, economic activity and inflation expectations over short-, medium- and long-term horizons. Yield curves therefore play a pivotal role in the monitoring of the term structure of interest rates in the euro area. In this context, the purpose of this paper is twofold: firstly, to pave the way for a conceptual framework with recommendations for selecting a high-quality government bond sample for yield curve estimations, where changes mainly reflect changes in the yields-to-maturity rather than in other attributes of the underlying debt securities and models; and secondly, to supplement the comprehensive - mainly theoretical - literature with the more empirical side of term structure estimations by applying statistical tests to select and produce representative yield curves for policymakers and market-makers.
Subjects: 
term structure
yield curve models
data quality
JEL: 
G1
E4
E5
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3356-8
Document Type: 
Working Paper
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