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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.

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Parameter Stability in Yield Curve Fitting

  • 会议论文

  • 发表日期：

    2025年

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  • Lorenzo Mercuri,
  • Andrea Perchiazzo,
  • Edit Rroji,
  • Ilaria Stefani

摘要

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.