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Costruzione delle curve dei rendimenti sui buoni del tesoro poliennali in base al metodo di interpolazione dei minimi quadrati, 1957-1967

Moneta e Credito

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Title Costruzione delle curve dei rendimenti sui buoni del tesoro poliennali in base al metodo di interpolazione dei minimi quadrati, 1957-1967
 
Creator MASERA, R.S.
 
Subject —
Italy, Italian government securities, least-squares, yield curves, regression model, bonds
G12, H63, E43
 
Description The article presents a study on the least-squares construction of the yield curves for Italian government securities from 1957 to 1967. The author provides a general introduction to the Italian financial system and the initial results, before considering the technical aspects. In the first section of the paper a brief outline of the Italian bond market is provided, so as to give the reader a brief knowledge of the institutional system in Italy. The main features of the estimated yield curves are then detailed and some implications of the data are considered with regard to recent attempts of the monetary authorities to prevent the increase in interest rates. Some general considerations are made before the free-hand interpolation of Durand’s “basic yields” and the U.S. treasury securities curves is considered. The linear interpolation of Grant’s British government securities yield curves is then assessed. Finally, the method for least-squares interpolation is explained before the regression model used for Italian B.T.P. and the resulting estimated yield curves are presented.
 
Publisher Associazione Economia civile
 
Contributor —
 
Date 2014-08-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articolo peer-review
 
Format application/pdf
 
Identifier http://ojs.uniroma1.it/index.php/monetaecredito/article/view/12541
 
Source Moneta e Credito; Vol 23, N° 90 (1970)
Moneta e Credito; Vol 23, N° 90 (1970)
2037-3651
 
Language ita
 
Relation http://ojs.uniroma1.it/index.php/monetaecredito/article/view/12541/12342
 
Rights Copyright (c) 2016 R.S. MASERA
http://creativecommons.org/licenses/by-nc-nd/4.0