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Nelson-Siegel Model and Multicollinearity

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dc.contributor.authorRodríguez Sánchez, Ainara
dc.date.accessioned2025-10-28T07:49:45Z
dc.date.available2025-10-28T07:49:45Z
dc.date.issued2025-10-01
dc.descriptionThis is the Accepted Manuscript of a chapter published by Springer, 2025, available online: https://doi.org/10.1007/978-3-031-84782-0_23
dc.description.abstractNelson-Siegel model is used for important decision making about monetary policy, among others. Numerous researchers are aware of the potential multicollinearity in the Nelson-Siegel model that can lead to unstable estimations and signs contrary to expectations if the model is estimated by ordinary least squares (OLS). Some authors have proposed fixing the shape parameter to avoid multicollinearity problems, but that change can lead to extremely smooth time series. On the other hand, other authors have proposed estimating the Nelson-Siegel model with the ridge regression that is traditionally applied to estimate models with collinearity as an alternative to OLS. For a correct application of the ridge regression, data should be standardized which can make difficult the interpretation of the estimated model. Also, the inference in ridge regression is controversial. Alternatively, this work proposes the application of the raise regression to mitigate multicollinearity in Nelson-Siegel model. This methodology can be applied with the original data and maintains the global characteristics of the original model. The contribution of this paper is illustrated with two different empirical examples for American and European treasuries.en
dc.description.provenanceMade available in DSpace on 2025-10-28T07:49:45Z (GMT). No. of bitstreams: 1 RODRIGUEZ SANCHEZ_AINARA_Nelson-Siegel model_AINARA RODRIGUEZ SAN.pdf: 253533 bytes, checksum: 727339cfef8b90f3bfac23797319693d (MD5) Previous issue date: 2025-10-01en
dc.description.versionversión final
dc.identifier.citationRodríguez-Sánchez, A., García-García, C.B., Salmerón Gómez, R. (2025). Nelson-Siegel Model and Multicollinearity. In: Cruz Rambaud, S., Trinidad Segovia, J.E., García-García, C.B. (eds) Advances in Quantitative Methods for Economics and Business. Springer, Cham. https://doi.org/10.1007/978-3-031-84782-0_23
dc.identifier.doihttps://doi.org/10.1007/978-3-031-84782-0_23
dc.identifier.isbn978-3-031-84782-0
dc.identifier.urihttps://hdl.handle.net/20.500.14468/30650
dc.language.isoen
dc.page.final501
dc.page.initial487
dc.publisherSpringer
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía Aplicada
dc.relation.ispartofAdvances in Quantitative Methods for Economics and Business
dc.rightsinfo:eu-repo/semantics/embargoedAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
dc.subject5308.03 Historia del pensamiento económico
dc.subject.keywordsNelson-Siegelen
dc.subject.keywordsMulticollinearityen
dc.subject.keywordsShape Parameteren
dc.subject.keywordsRidge Regressionen
dc.subject.keywordsRaise Regressionen
dc.titleNelson-Siegel Model and Multicollinearityes
dc.typecapítulo de libroes
dc.typebook parten
dspace.entity.typePublication
relation.isAuthorOfPublication44ad71e8-c715-46c4-9ed9-9346720f4d23
relation.isAuthorOfPublication.latestForDiscovery44ad71e8-c715-46c4-9ed9-9346720f4d23
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