TY -
GEN
AU - Christensen, Nicolaj H.
AU - Nysteen, Anders
AU - Pedersen, Niklas B. D.
TI -
Modelling Danish government bond yields in a low-rate environment
PB - Danmarks Nationalbank
KW - identify such improvements when using a shadow rate model on Danish yield data. The reason is that the shadow rate model is challenged when rates continue to decline into negative territory as has been the case in Denmark in recent years. Despite the challenges
KW - Risk management
KW - as an aside we find that a term structure model with two rather than three factors improves the forecast performance in the low-rate period
KW - C32
KW - Siegel model. In the literature
KW - where rates were at their lowest. Finally
KW - Shadow-rate model
KW - Term structure model
KW - Government debt management
KW - G17
KW - shadow rate models have been shown to improve the cross-sectional fit and the forecast performance when interest rates are close to zero. We do not
KW - we still prefer a shadow rate model over Gaussian models as the former captures the asymmetric distribution of future rates that characterises the low-yield environment. From a risk management perspective
KW - we find that the shadow rate extension influences the term premia estimates notably only for a brief period in the beginning of 2015
KW - however
KW - C53
KW - Low-rate environment
KW - Arbitrage-free Nelson-Siegel
PY - 2016
N2 - Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
UR - https://katalog.slub-dresden.de/en/?cHash=0bb8bd27a7fbde41cd02875a74ca0f3d&tx_find_find%5Baction%5D=citation&tx_find_find%5Bcontroller%5D=Search&tx_find_find%5Bid%5D=126-ZnR6YndraWVsOm9haTplY29uc3Rvci5ldToxMDQxOS8xNzE4MDA&tx_find_find%5Btype%5D=ris
ER -