Zero-coupon interest rates: Evaluating three alternative datasets
Resumen
The zero-coupon yield curve is a common input for most financial
purposes. We consider three popular yield curve datasets and
explore the extent to which the decision as to what dataset to
use for a particular application may have an impact on the
results. Many term structure papers evaluate alternative models
for estimating zero coupon bonds based on their ability to replicate bond prices. However, in this paper we take a step forward
by analyzing the consequences of using these alternative datasets
in estimates of other moments and variables such as interest rate
volatilities or the resulting forward rates and their correlations.
After finding significant differences, we also explore the existence
of volatility spillover effects among these three datasets. Finally,
we illustrate the relevance of the choice of one particular dataset
by examining the differences that may arise when testing the
expectations hypothesis. In the conclusions, we provide guidance
to end users in selecting a particular dataset.