Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU

Alfaro, Rodrigo and Becerra, Juan Sebastian and Sagner, Andres (2010): Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU.

Abstract

The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact parameters in the VAR model that generates Dynamic-Nelson-Siegel (DNS) which has a strong implication in the time-series properties of the interest rates: those should be model by an ARIMA(2,1,2). Finally we provide empirical evidence of the model for the cases of Chile and US, our finding matches previous results about the non-linear parameter of the model.

• Item Type: MPRA Paper
• English Title: The Dynamic Nelson-Siegel model: empirical results for Chile and US
• Language: Spanish
• Keywords: Nelson-Siegel, Yield Curve, ARIMA
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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