Global yield curve dynamics and interactions
Subtitle: a dynamic nelson-siegel approach
By: Francis X. Diebold, Canlin Li, Vivian Z. Yue
Contributors: Li, Canlin; Yue, Vivian Z.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 13588; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13588.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "The 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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 11/30/2007.

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