Hello and welcome.
A preliminary draft of a manuscript on "Yield Curve Modelling for Practitioners" has been adeed to the Papers-Section. I have included links to the data and code used in the manuscript such that all empirical examples can be replicated.
I have added two things. (1) In the MATLAB section there are functionalities that allow for easy estimation of several term structure models, and calculation of e.g. the expectation component and the term structure of term premia. The functionalities are collected in a MATLAB class. (2) I have updated the "papers" section with new links.
March 11, 2018:
There is a new MATLAB example added to the MATLAB section. It shows how to make yield curve projections that are guaranteed to pass through pre-specified future yield curve fix-points. The example also shows to the dynamic Nelson-Siegel model can be estimated using OLS as well as with MATLAB's state-space toolbox.
I've made a minor update by adding a papers section, where I've put a recent paper and links to published and other working papers - please see the "Papers" tab in the menu section.
My text on Discrete-Time Yield Curve Modelling is published as an Element on Cambridge University Press. DOI: https://doi.org/10.1017/9781108975537
I derive an arbitrage-free four-factor term structure model that facilitates direct parameterization of the short-term interest rate process. The interplay between macroeconomic variables and the term structure via a monetary policy reaction function, in the spirit of Taylor(1993), is therefore directly supported. I show that the proposed model is a constrained member of the canonical GDTSM family proposed by Joslin, Singleton and Zhu(2011). The model's loading structure bears close resemblance to that of the Svensson and Soderlind (1997) model, but it relies only on a single non-linear shape parameter, and the model is therefore easy to estimate. An empirical application to US data covering the period from 1961 to 2017 demonstrates that the proposed model fits yields well, and that an embedded policy rule, including industrial production and the inflation rate, is statistically significant and economically meaningful during this time-period.
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Ken Nyholm (c) - Updated January 2022