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Journal of Economics and Finance

Empirical analysis of term structure shifts

  • 19-08-2020
Published in:
Author
Joel R. Barber
Published in
Journal of Economics and Finance | Issue 2/2021

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Abstract

Principal component analysis and factor analysis of term structure movements shows that between 80 and 90% of term structure shifts can be explained by a uniform shift that is roughly parallel. In contrast, our analysis of term structure data from 1986 to 2016 reveals that only 57% of the shifts have been uniform. Twist- and butterfly-type shifts accounted for 28 and 10%, respectively, of all shifts. Remarkably, these frequency results are roughly the same for uniform and twist shifts determined on a daily, weekly, and monthly basis over the entire sample and over three subperiods. Based on historical data, an investor should expect a uniform shift in the term structure about 57% and a twist 28% of the time.

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Title
Empirical analysis of term structure shifts
Author
Joel R. Barber
Publication date
19-08-2020
Publisher
Springer US
Published in
Journal of Economics and Finance / Issue 2/2021
Print ISSN: 1055-0925
Electronic ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-020-09521-9
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