An affine macro-factor model of the UK yield curve
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An affine macro-factor model of the UK yield curve

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Published by Bank of England in London .
Written in English


Book details:

Edition Notes

StatementPeter Lildholdt, Nikolaos Panigirtzoglou, and Chris Peacock.
SeriesWorking paper -- no. 322, Working paper (Bank of England : Online) -- no. 322.
ContributionsPanigirtzoglou, Nikolaos., Peacock, Chris., Bank of England.
Classifications
LC ClassificationsHG186.G7
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL16442754M
LC Control Number2007702777

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  This paper estimates yield curve models for the UK, where the underlying determinants have a macroeconomic interpretation. The first factor is an unobserved inflation target, the second factor is annual inflation, and the third factor is a 'Taylor rule residual', which, among other things, captures the effects of the output gap and monetary policy surprises in the Taylor by: This paper estimates yield curve models for the United Kingdom, where the underlying determinants have a macroeconomic interpretation. The first factor is an unobserved inflation target, the second factor is annual inflation, and the third factor is a ‘Taylor rule residual’, which, among other things, captures the effects of the output gap and monetary policy surprises in the Taylor rule. This paper estimates yield curve models for the United Kingdom, where the underlying determinants have a macroeconomic interpretation. The first factor is an unobserved inflation target, the second factor is annual inflation, and the third factor is a ‘Taylor rule residual’, which.   An-affine macro-factor model of the UK yield curve, Bank of England Working Paper No. , Bank of England, London. Nelson, C.R. & Siegel, A.F. (). Parsimonious modelling of yield : Şule Şahin, Andrew J.G. Cairns, Torsten Kleinow, A. David Wilkie.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Working Paper no. An affine macro-factor model of the UK yield curve. Bank of EnglandAn af ne macro-factor model of the UK yield curve. By Peter Lildholdt, Nikolaos Panigirtzoglou, Chris Peacock, Peter Lildholdt, Nikolaos Panigirtzoglou, Chris Peacocky, Working Paper no. An affine macro-factor model of the UK yield curv Year: OAI identifier: oai: Provided by: CiteSeerX.   Diebold, Francis X. and Ji, Lei and Li, Canlin, A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration (March 9, ). PIER Working Paper No. Cited by: A novel mixed-frequency affine model is developed for improving the forecasting of yield curves. Compared with traditional model, this model offers superior performance for fitting yield curve. This model can provide more accurate out-of-sample forecast results for a short by: 1.

Developments in Macro-Finance Yield Curve Modelling - Developments in Macro-Finance Yield Curve Modelling Edited by Jagjit S. Chadha, Alain C. J. Durré, Michael A. S. Joyce and Lucio Sarno 10 Developing a practical yield curve model: an odyssey M. A. H. DEMPSTER, JACK EVANS AND ELENA MEDOVA Part III Policy. (December ) An affine term structure model is a financial model that relates zero-coupon bond prices (i.e. the discount curve) to a spot rate model. It is particularly useful for deriving the yield curve – the process of determining spot rate model inputs from observable bond market data. This paper proposes a novel mixed-frequency affine term structure model to improving the fit and forecasting ability of yield curves. We also show the Bayesian estimation method related to this mixed-frequency model. Then we conduct an empirical study using Chinese macro and financial by: 1. Affine Multiple Yield Curve Models. We propose a flexible and tractable approach based on affine processes to model multiple yield curves. More precisely, we model a numeraire process and multiplicative spreads between Libor rates and simply compounded OIS rates as functions of an underlying affine process.