Zero Coupon Yield Curves

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BIS Papers
No 25

Zero-coupon yield curves: technical documentation

Monetary and Economic Department
October 2005

This volume was originally prepared following a meeting on estimation of zero-coupon yield curves held at the Bank for International Settlements in June 1996, and the papers are technical in character. This volume is a revised version with updated papers from the reporting central banks.

Requests for copies of publications, or for additions/changes to the mailing list, should be sent to: Bank for International Settlements Press & Communications CH-4002 Basel, Switzerland E-mail: publications@bis.org Fax: +41 61 280 9100 and +41 61 280 8100

© Bank for International Settlements 2005. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated.

ISSN 1609-0381 (print) ISBN 92-9131-665-2 (print) ISSN 1682-7651 (online) ISBN 92-9197-665-2 (online)

Contents

Introduction ..............................................................................................................................................v Zero-coupon yield curve estimation techniques .................................................................................v Provision of information on the term structure of interest rates ........................................................ ix Zero-coupon yield curves available from the BIS ............................................................................ xii Spot interest rates and forward rates derived from estimation parameters .................................... xiv References ....................................................................................................................................... xv Contacts at central banks ..................................................................................................................... xvi Technical note on the estimation procedure for the Belgian yield curve Michel Dombrecht and Raf Wouters (National Bank of Belgium) ...........................................................1 A technical note on the Svensson model as applied to the Canadian term structure David Bolder, Scott Gusba, and David Stréliski (Bank of Canada) .........................................................3 Notes on the estimation for the Finnish term structure Lauri Kajanoja and Antti Ripatti (Bank of Finland) ..................................................................................6 Estimating the term structure of interest rates from French data Roland Ricart, Pierre Sicsic and Eric Jondeau (Bank of France) ...........................................................7 The data for estimating the German term structure of interest rates Sebastian T Schich (Deutsche Bundesbank) ..........................................................................................9 Technical note on the estimation of forward and zero coupon yield curves as applied to Italian euromarket rates Research Department (Bank of Italy) ....................................................................................................12 A technical note on the estimation of the zero coupon yield and forward rate curves of Japanese government securities Research and Statistics Department (Bank of Japan) ..........................................................................15 Estimation of spot and forward rates from daily observations Øyvind Eitrheim (Central Bank of Norway) ...........................................................................................20 Notes on the estimation procedure for the Spanish term structure Soledad Núñez (Bank of Spain) ............................................................................................................23 The estimation of forward interest rates and zero coupon yields at the Riksbank Hans Dillén and Carl Fredrik Petterson (Sveriges Riksbank) ...............................................................26 A technical note on the...
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