Advanced Search
MyIDEAS: Login

An Econometric Analysis of the Hungarian Sovereign Yield Curve

In: Proceedings of FIKUSZ 2010

Contents:

Author Info

  • Szabolcs Kopányi

    ()
    (Corvinus University of Budapest)

Registered author(s):

    Abstract

    This paper analyses the Hungarian sovereign yield curve via econometric methods. First I apply Principal Component Analysis (PCA) on my panel data consisting of zero coupon interest rates derived from government bond trading. This decomposition of the yield curve highlights important relationsips between identified factors and metrics of the term structure shape. As a second step, I implement a semi non-parametric model, as suggested by Gallant and Tauchen (1996). This way, one can understand governing processes of the sovereign yield curve without making arbitrary parametric assumptions. My empirical findings support statistical similarities between the Hungarian yield curve and, in the literature most often analysed, US term structure.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://uni-obuda.hu/users/vecseya/RePEc/pkk/sfyr10/kopanyi.pdf
    Download Restriction: no

    Bibliographic Info

    as in new window

    This chapter was published in: László Áron Kóczy (ed.) Proceedings of FIKUSZ 2010, , pages 139-148, 2010.

    This item is provided by Óbuda University, Keleti Faculty of Business and Management in its series Proceedings of FIKUSZ '10 with number 139-148.

    Handle: RePEc:pkk:sfyr10:139-148

    Contact details of provider:
    Postal: 1084 Budapest, Tavaszmezö u. 15-17
    Phone: +36-1-6665208
    Fax: +36-1-6665209
    Web page: http://www.kgk.uni-obuda.hu
    More information through EDIRC

    Related research

    Keywords: term structure of interest rates; principal component analysis; semi non-parametric modelling;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:pkk:sfyr10:139-148. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexandra Vécsey).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.