Risk structure of interest rates: an empirical analysis for Deutschemark‐denominated bonds
用Nelson-Siegel模型估计德国马克政府债券和五种信用评级债券的利率期限结构，分析定价误差和信用利差，帮助理解风险与利率的关系。
This paper empirically studies the risk structure of interest rates for Deutschemark‐denominated bonds. For this purpose, we estimate term structures of interest rates using the parsimonious fitting function of Nelson and Siegel (1987) for virtually risk free Government bonds and five different rating categories classified by Moody’s ratings (Aaa, Aa, A, Baa, Ba). The sample period covers the time interval from July 1990 to December 1996. We investigate the pricing errors resulting from our estimation procedure and analyse credit spreads over the term structure of Government bonds.