Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part I
This is the first part of a study on the least-squares construction of the yield curves for Italian government securities from 1957 to 1967, in which the author provides a general introduction to the Italian financial system and the initial results. In the first section of the paper the author provi...
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| Format: | Article |
| Language: | English |
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Associazione Economia civile
2014-03-01
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| Series: | PSL Quarterly Review |
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| Online Access: | https://rosa.uniroma1.it/rosa04/psl_quarterly_review/article/view/11739 |
| Summary: | This is the first part of a study on the least-squares construction of the yield curves for Italian government securities from 1957 to 1967, in which the author provides a general introduction to the Italian financial system and the initial results. In the first section of the paper the author provides a brief outline of the Italian bond market, so as to give the reader a brief knowledge of the institutional system in Italy. The author also provides an explanation of the reasons which led to the selection of a certain group of Treasury securities - The B.T.P. - for the construction of the yield curves and the quantitative analysis of the term structure in relation to the Italian experience. In section two the main features of the estimated yield curves are 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.
JEL: G12, H63, E43
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| ISSN: | 2037-3635 2037-3643 |