A new generalized Nelson-Siegel model and its empirical analysis

On the basis of some models of term structure of interest rates particularly extensively used NS models, this paper gives a new generalized NS model to counter the shortcomings of the NS models. Based on the data in Chinese Interbank Bond Market, the paper makes a preliminary empirical study for the generalized NS model. The empirical study indicates that the slope factor and the curvature factor of the generalized NS model have some certain lagging effects. The generalized NS model not only eliminates the multicollinearity among factors but also reflects the lagging effects of the slope factor and the curvature factor, so the new generalized NS model is a useful attempt.