Koopman, S.J., Mallee, M.I. and Van der Wel, M. (2010) Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. Journal of Business & Economic Statistics, 28, 329-343.
https://doi.org/10.1198/jbes.2009.07295

has been cited by the following article:

• TITLE: Analyzing China’s Term Structure of Interest Rates Using VAR and Nelson-Siegel Model

  AUTHORS: Minjie Ding

  KEYWORDS: China’s Term Structure, Nelson-Siegel Model

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.2, May 11, 2020

  ABSTRACT: China’s bonds market has developed rapidly in recent years. A further study of interest rate term structure is essential. Nelson-Siegel model is widely used to fit interest rate term structure around the world. In this essay, we try to find out whether Nelson-Siegel model is efficiency in China, and which model is most efficient among some typical variants of Nelson-Siegel model. After brief theoretical introduction, we conduct empirical analysis, which contains two sections. In the first session, we focus on fitting Chinese interest rate term structure using Nelson-Siegel model, and fitting efficiency turns out to be pretty good. In the second section, we establish a VAR model with macroeconomic variables to predict parameters in Nelson-Siegel model, and use the combination of VAR and NS model to predict interest rate term structure in 2019 and 2020 respectively. Also, in terms of prediction efficiency, VAR (Macro)-NS model performs better than both VAR-NS model without macroeconomic variables and simple NS model.