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Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.

Bonds --- Bond issues --- Debentures --- Negotiable instruments --- Securities --- Debts, Public --- Stocks --- Mathematical models. --- Mathematical models --- E-books --- Finanzas. --- Bonos --- Especulación --- Modelos matemáticos. --- Bonds - Mathematical models --- AFNS. --- Bayesian analysis. --- DNS. --- NelsonГiegel curve fitting. --- RudebuschЗu model. --- affine arbitrage-free models. --- arbitrage-free NelsonГiegel models. --- arbitrage-free dynamic NelsonГiegel. --- arbitrage-free models. --- credit spreads. --- dynamic NelsonГiegel model. --- dynamic NelsonГiegel modeling. --- dynamic yield curve forecasting. --- dynamic yield curve modeling. --- factor loadings. --- forecasting. --- macro-finance yield curve modeling. --- multicountry modeling. --- risk management. --- stateгpace structure. --- stochastic volatility. --- yield curve fitting. --- yield curve models. --- yield curve.

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This paper examines the transmission of changes in the U.S. monetary policy to localcurrency sovereign bond yields of Brazil and Mexico. Using vector error-correction models, we find that the U.S. 10-year bond yield was a key driver of long-term yields in these countries, and that Brazilian yields were more sensitive to U.S. shocks than Mexican yields during 2010–13. Remarkably, the propagation of shocks from U.S. long-term yields was amplified by changes in the policy rate in Brazil, but not in Mexico. Our counterfactual analysis suggests that yields in both countries temporarily overshot the values predicted by the model in the aftermath of the Fed’s “tapering” announcement in May 2013. This study suggests that emerging markets will need to contend with potential spillovers from shifts in monetary policy expectations in the U.S., which often lead to higher government bond interest rates and bouts of volatility.

Monetary policy --- Banks and Banking --- Econometrics --- Finance: General --- Investments: Bonds --- Interest Rates: Determination, Term Structure, and Effects --- General Financial Markets: General (includes Measurement and Data) --- Multiple or Simultaneous Equation Models --- Multiple Variables: General --- Finance --- Investment & securities --- Banking --- Econometrics & economic statistics --- Yield curve --- Sovereign bonds --- Central bank policy rate --- Securities markets --- Vector error correction models --- Bond yields --- Financial institutions --- Financial services --- Financial markets --- Interest rates --- Bonds --- Capital market --- Econometric models --- United States

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Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.

level, slope, and curvature of the yield curve --- Nelson-Siegel factors --- supervised factor models --- combining forecasts --- principal components --- Minimum variance portfolio --- risk --- shrinkage --- S&amp --- P 500 --- high-frequency --- volatility --- forecasting --- realized measures --- bivariate GARCH --- Japanese candlestick --- ordered fuzzy number --- Kosiński’s number --- oriented fuzzy number --- dynamic analysis of securities --- integrated volatility --- high-frequency data --- jumps --- realized skewness --- cross-sectional stock returns --- signed jump variation --- long-range dependence --- log periodogram regression --- smoothed periodogram --- subsampling --- intraday returns --- portfolio selection --- maximum diversification --- regularization

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The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into several new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.  The fast-growing interest for hybrid products has led to new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.  The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

International finance --- Quantitative methods (economics) --- Derivative securities --- Interest rates --- 305.7 --- 333.830 --- AA / International- internationaal --- 336.781 --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Prices&delete& --- Mathematical models --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente --- Theorieën en algemeenheden over geldrente --- Prices --- Mathematical models. --- Taux d'intérêt --- Instruments dérivés (Finances) --- Modèles mathématiques --- Prix --- EPUB-LIV-FT LIVMATHE SPRINGER-B --- Finance. --- Distribution (Probability theory. --- Statistics. --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Probabilities. --- Statistics . --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Mathematical economics --- Methodology --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis --- -Derivative securities --- -332.82015118 --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- -Mathematical models --- Taux d'intérêt --- Interest rates - Mathematical models --- Derivative securities - Prices - Mathematical models --- Social sciences --- Mathematics in Business, Economics and Finance. --- Probability Theory. --- Statistics in Business, Management, Economics, Finance, Insurance. --- Mathematics.

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336.748.12 --- 336.781 --- 336.2 --- Fiscal policy --- Inflation (Finance) --- Interest rates --- -Monetary policy --- 336.74 --- 336.3 --- AA / International- internationaal --- 333.841 --- 333.846.2 --- 333.846.6 --- 330.05 --- 332.46 --- Monetary management --- Economic policy --- Currency boards --- Money supply --- Tax policy --- Taxation --- Finance, Public --- Finance --- Natural rate of unemployment --- 336.2 Belastingen. Belastingswezen. Openbare financien. Belastingspolitiek. Belastingstheorie. Belastingsharmonisatie. Fiskale politiek. Belastingsleer. Belastingsdruk. Belastingstechniek. Belastingsstelsel.Belastingstarief --- 336.2 Belastingsakkoorden. Belastingswezen --- Belastingen. Belastingswezen. Openbare financien. Belastingspolitiek. Belastingstheorie. Belastingsharmonisatie. Fiskale politiek. Belastingsleer. Belastingsdruk. Belastingstechniek. Belastingsstelsel.Belastingstarief --- Belastingsakkoorden. Belastingswezen --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- 336.748.12 Algemeen prijsniveau. Prijsindex. Prijsstijging --- Algemeen prijsniveau. Prijsindex. Prijsstijging --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Effect of inflation on --- Geld. Monetaire politiek --- Openbare schulden --- Inflatie. --- Verband tussen de geld-, bank- en kredietpolitiek en de prijzen. --- verband tussen de geld-, bank- en kredietpolitiek en de openbare financiën. --- Government policy --- Economics --- -330.05 --- Economic theory --- Political economy --- Social sciences --- Economic man --- Electronic information resources --- E-journals --- Monetary policy --- Inflatie --- Verband tussen de geld-, bank- en kredietpolitiek en de prijzen --- verband tussen de geld-, bank- en kredietpolitiek en de openbare financiën --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis --- Money. Monetary policy --- Public debt --- Money --- Credit --- Credit. --- Interest. --- Monetary policy. --- Money. --- Currency --- Monetary question --- Money, Primitive --- Specie --- Standard of value --- Exchange --- Value --- Banks and banking --- Coinage --- Currency question --- Gold --- Silver --- Silver question --- Wealth --- Interest and usury --- Finance charges --- Income --- Borrowing --- Loans --- Law and legislation --- Political aspects --- Norway --- Norway. --- Kingdom of Norway --- Kongeriket Noreg --- Kongeriket Norge --- Noreg --- Norga --- Norge --- Norgga gonagasriika --- Norja --- Noruwē --- Norvège --- Norvegia --- Norveška --- Norwegen --- Norwegia --- ノルウェー --- Noruw --- Economic conditions --- Economic history. --- History, Economic