TABLE 9
FROM:
Global term structure modelling using principal component analysis
Arcady Novosyolov and Daniel Satchkov
BACK TO ARTICLETable 9. Differences in R2 of regressing term structure points on 20 PCs resulting from the Procedure 3 vs. 20 global PCs resulting from Procedure 2
| Government Curves (except Swiss) | LIBOR | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| US | Swiss LIBOR | UK | Japan | Canada | US | Euro | UK | Japan | Canada | |
| 3 | 0.11 | 0.01 | 0.06 | 0 | - 0.03 | - 0.06 | - 0.04 | 0.02 | - 0.03 | - 0.03 |
| 6 | 0.13 | 0.01 | 0.05 | 0 | 0.05 | 0 | - 0.04 | 0.04 | - 0.02 | 0.02 |
| 12 | 0.03 | - 0.01 | 0.02 | - 0.04 | 0.03 | 0.02 | - 0.02 | 0 | - 0.04 | 0.02 |
| 24 | 0.01 | 0.03 | 0.02 | - 0.04 | 0 | 0 | 0.01 | 0.07 | - 0.01 | 0.02 |
| 36 | 0 | 0.02 | 0.02 | - 0.01 | 0 | 0 | 0.01 | 0.06 | - 0.01 | 0.02 |
| 48 | 0.01 | 0.02 | 0.01 | - 0.02 | 0 | 0 | 0.01 | 0.01 | 0 | 0.01 |
| 60 | 0 | 0.01 | 0.01 | - 0.01 | 0 | 0 | 0 | 0 | - 0.01 | 0.01 |
| 72 | 0.01 | 0.01 | 0.01 | - 0.02 | 0 | 0 | 0 | 0.01 | - 0.01 | 0.01 |
| 84 | 0.01 | 0 | 0 | - 0.02 | 0 | 0 | 0 | 0.01 | - 0.01 | 0.01 |
| 96 | 0 | 0 | 0 | - 0.02 | 0 | 0.01 | 0 | 0.01 | - 0.01 | 0 |
| 108 | 0 | 0 | 0 | - 0.01 | 0 | 0.01 | 0 | 0 | - 0.01 | 0.01 |
| 120 | 0 | 0 | 0 | - 0.02 | 0.02 | 0 | 0.01 | 0 | 0 | 0 |
| 180 | 0.02 | 0.01 | 0 | - 0.05 | 0.1 | 0.01 | 0 | 0 | - 0.01 | 0 |
| 240 | 0.03 | 0.01 | 0.03 | - 0.06 | 0.12 | 0.01 | 0 | 0.01 | - 0.01 | 0 |
| 300 | 0.01 | 0.01 | 0.05 | - 0.09 | 0.06 | 0.01 | 0 | 0.01 | - 0.02 | 0 |
| 360 | 0.01 | 0.01 | 0.06 | - 0.09 | 0 | 0.01 | 0.01 | 0.02 | - 0.03 | 0 |
