We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020--2025.
Parameter Stability in Yield Curve Fitting
Perchiazzo, Andrea;
2026-01-01
Abstract
We investigate the yield term structure of different countries in order to assess the impact of recent interventions from central banks. We adopt a static approach through the use of the Nelson-Siegel and its extended version named Nelson-Siegel-Svensson model. Empirical results suggest that fitted parameters in the restricted model are more stable across all countries for the period 2020--2025.File in questo prodotto:
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