Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Estimatinf the Term Structure of Interest Rates with Simple and Complex Functional Forms: Nelson & Siegel vs. Longstaff & Schwartz
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1994 (English)Report (Other academic)
Abstract [en]

The paper compares estimation of spot (zero-coupon) interest rates and implicit forward interest rates from Swedish Treasury bill rates and Government coupon bond yields with two functional forms for the discount function, the simple form of Nelson & Siegel (NS) and the complex form of Longstaff & Schwartz (LS). NS is much easier to use and has much better convergence properties, whereas LS is more flexible. For the data used, estimates with NS and LS are close, with only marginally better fit for LS. The fit of NS seems satisfactory for monetary policy purposes.

Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 32 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 565
Keyword [en]
discount function, forward rates, spot rates
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41889OAI: oai:DiVA.org:su-41889DiVA: diva2:342795
Available from: 2010-08-11 Created: 2010-08-11 Last updated: 2010-08-11Bibliographically approved

Open Access in DiVA

fulltext(4923 kB)294 downloads
File information
File name FULLTEXT01.pdfFile size 4923 kBChecksum SHA-512
5b82608bdb712b55f06312a4b191c85bd36c0f49a9943084f84b6a461483a3a04ad43c0889c4ce0d5b5b4b2363690a47ddc147080547d3d8f45a1398573339ef
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Svensson, Lars E.O.
By organisation
Institute for International Economic Studies
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 294 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 178 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf