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Fecha
2026-01-16
Derechos de acceso
info:eu-repo/semantics/embargoedAccess
Título de la revista
ISSN de la revista
Título del volumen
Editorial
Springer
Citas
Resumen
Accurate estimation of ultra-long-term interest rates is essential for financial regulators, life insurance companies, and pension funds. The Nelson-Siegel model and its extension, the Svensson model, are widely used thanks to their parsimony and rich economic intuition. The level parameter in both models is a direct indicator of ultra-long-term rates. However, these models are subject to high nonlinearity when estimated as nonlinear models, or multicollinearity when estimated as linear models. As a result, estimated interest rates can be unstable, which undermines their practical use. In this paper, we employ raise regression to alleviate the estimation issue. Our results demonstrate superior accuracy compared to existing methods.
Descripción
The registered version of this article, first published in “Journal of Economics and Finance, vol. 50, 2026", is available online at the publisher's website: Springer, https://doi.org/10.1007/s12197-025-09749-3
La versión registrada de este artículo, publicado por primera vez en “Journal of Economics and Finance, vol. 50, 2026", está disponible en línea en el sitio web del editor: Springer, https://doi.org/10.1007/s12197-025-09749-3
La versión registrada de este artículo, publicado por primera vez en “Journal of Economics and Finance, vol. 50, 2026", está disponible en línea en el sitio web del editor: Springer, https://doi.org/10.1007/s12197-025-09749-3
Categorías UNESCO
Palabras clave
Nelson-Siegel model, Nelson-Siegel-Svensson model, multicollinearity problem, ridge regression, raise regression
Citación
Ainara Rodríguez-Sánchez & Hairui Zhang & Marc J. K. De Ceuster & Jan Annaert, 2026. "Estimating ultra long-term interest rates with raise regression," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 50(1), pages 1-23, https://doi.org/10.1007/s12197-025-09749-3
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía Aplicada e Historia Económica