Term Structure Shapes and Their Consistent Dynamics in the Svensson Family
研究了Svensson族（含Nelson-Siegel和Bliss子族）中远期和收益率曲线可达到的形状，完整分类了所有形状并划分了参数空间；进一步分析无套利条件下的一致动态演化，发现一致动态进一步限制了形状集合，某些复杂形状在确定时间后消失，长期中单一形状（正或倒挂曲线）占主导。
ABSTRACT We examine the shapes attainable by the forward‐ and yield‐curve in the widely‐used Svensson family, including the Nelson‐Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the parameter space of each family according to these shapes. Building upon these results, we then examine the consistent dynamic evolution of the Svensson family under absence of arbitrage. Our analysis shows that consistent dynamics further restrict the set of attainable shapes, and we demonstrate that certain complex shapes can no longer appear after a deterministic time horizon. Moreover, a single shape (either inverse of normal curves) must dominate in the long‐run.