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 |
| Subjects: | |
| Online Access: | https://rosa.uniroma1.it/rosa04/psl_quarterly_review/article/view/11739 |
| _version_ | 1811172555988402176 |
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| author | R.S. MASERA |
| author_facet | R.S. MASERA |
| author_sort | R.S. MASERA |
| collection | DOAJ |
| description | 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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| first_indexed | 2024-04-10T17:32:13Z |
| format | Article |
| id | doaj.art-402889cf999c431fabdf22ceec07dfed |
| institution | Directory Open Access Journal |
| issn | 2037-3635 2037-3643 |
| language | English |
| last_indexed | 2024-04-10T17:32:13Z |
| publishDate | 2014-03-01 |
| publisher | Associazione Economia civile |
| record_format | Article |
| series | PSL Quarterly Review |
| spelling | doaj.art-402889cf999c431fabdf22ceec07dfed2023-02-03T16:43:46ZengAssociazione Economia civilePSL Quarterly Review2037-36352037-36432014-03-01229110.13133/2037-3643/11739Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part IR.S. MASERAThis 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 https://rosa.uniroma1.it/rosa04/psl_quarterly_review/article/view/11739ItalyItalian government securitiesleast-squaresyield curvesregression modelbonds |
| spellingShingle | R.S. MASERA Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part I PSL Quarterly Review Italy Italian government securities least-squares yield curves regression model bonds |
| title | Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part I |
| title_full | Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part I |
| title_fullStr | Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part I |
| title_full_unstemmed | Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part I |
| title_short | Least-squares construction of the yield curves for Italian government securities, 1957-1967. Part I |
| title_sort | least squares construction of the yield curves for italian government securities 1957 1967 part i |
| topic | Italy Italian government securities least-squares yield curves regression model bonds |
| url | https://rosa.uniroma1.it/rosa04/psl_quarterly_review/article/view/11739 |
| work_keys_str_mv | AT rsmasera leastsquaresconstructionoftheyieldcurvesforitaliangovernmentsecurities19571967parti |