期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2008
卷号：1
出版社：European Central Bank
摘要：Fixed-income wealth managers in public organizations, investment banks and central banks rely heavily on Nelson and Siegel (1987) type models to fit and forecast yield curves. According to BIS (2005), the central banks of Belgium, Finland, France, Germany, Italy, Norway, Spain, and Switzerland, use these models for estimating zero-coupon yield curves. The European Central Bank (ECB) publishes daily Eurosystem-wide yield curves on the basis of the Soderlind and Svensson (1997) model, which is an extension of the Nelson-Siegel model.1 In its foreign reserve management framework the ECB uses a regime-switching extension of the Nelson-Siegel model, see Bernadell, Coche and Nyholm (2005).
