Estimating Treasury Yields

In this paper the interest yield curve will be plotted at three points based upon three models that were found appropriate for each rate. Knowledge of the term structure of interest yield curves is helpful in the understanding of bond pricing, investment decisions, and public policy (ANG). This paper will examine the intricacies of the yield curve by developing three individual reference rates \u2014 a 2-year, a 5-year, and a 10-year \u2014 with the use of financial instruments and multivariate linear regression. Based upon the example of Nelson and Siegel (1987), Black Derman, and Toy (1990), Mishkin (1990), Ang and Piazzesi (2002), and Diebol et al. (2005), the models will feature various financial assets as well as macroeconomic variable in order to gain an understanding of which factors have the most significant effect on interest rates.