Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/211769 
Erscheinungsjahr: 
1996
Schriftenreihe/Nr.: 
Bank of Finland Discussion Papers No. 19/1996
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
This document reports the currently used term structure estimation method at the Bank of Finland and discusses interpretation of the results it generates.We start by introducing two widely used term structure estimation methods: the Cubic Spline Function method and the Nelson-Siegel approach.We compare their results, paying special attention to the smoothness of forward interest rates and distribution of pricing errors.Next, we introduce the Bank of Finland's method, commenting on its strenghts and weaknesses. Finally, we discuss interpretation of the term structure of interest rates with emphasis on the inflation expectations and the role of the time-varying risk premia.
Schlagwörter: 
term structure of interest rates
cubic splines
Nelson-Siegel
forward interest rates
relative value
inflation expectations
time-varying risk premia
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
951-686-514-3
Dokumentart: 
Working Paper

Datei(en):
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