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Yield Curve Construction: A Note on the Moldovan bond market

Author

Listed:
  • Olesea Speian
  • Victoria Ganea
  • Constantinos Kyriakopoulos

Abstract

In this note we apply the Nelson Siegel model on the Moldovan Government Securities market. In the Republic of Moldova although remarkable progress for the construction of a medium yield curve has been made during the last five years, the market still lacks the liquidity and depth level that would allow the application of market-based models for the credible description of the yields. Similar to countries with comparable stage of capital market development, the application of the Nelson Siegel model will provide a credible guidance for yields for tenors that either are not traded in the secondary market or even if they are traded the volume is so small that there is no a credible price and yield discovery mechanism.

Suggested Citation

  • Olesea Speian & Victoria Ganea & Constantinos Kyriakopoulos, 0. "Yield Curve Construction: A Note on the Moldovan bond market," Bulletin of Applied Economics, Risk Market Journals, vol. 9(1), pages 1-9(1).
    • Handle: RePEc:rmk:rmkbae:v:9:y:mics:i:1:p:9(1)
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    More about this item

    Keywords

    yield curve; bond market; liquidity level; Nelson – Siegel method;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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