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Nelson-Siegel-Svensson parameters provided by the Bundesbank

Economics Asked on November 27, 2021

I am a college student and I have recently learned about Nelson-Siegel-Svensson method which is used by the German Federal Bank to determine the yield curve. I have to generate yield curves of different shapes using historical data ($beta_0$, $beta_1$, $beta_2$, $beta_3$, $tau_1$ and $tau_1$) which I am free to choose myself.

On the website of the German Federal Bank I see the monthly and daily estimated parameters for the period from September 1972 until today. I have the formula but I am not sure which numbers to use. Could somebody please explain to me, whether the monthly estimated parameters are suitable to generate an yield curve for the next 10 years?

I am sorry if the question is too easy. I would be very grateful, if anyone could help me to understand which parameters I can use.

One Answer

If anyone ever wonders the same, I´ve just tried weighting the monthly parameters and that leads to the correct interest rates :) you take 1 / 12 * ∑ (12 values of the respective parameter for the respective year). The answer was way easier than I thought :D

Answered by Amy on November 27, 2021

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