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Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia

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Author Info
Gevorgyan Ruben ()
Melikyan Narine ()
Abstract

T-bills were introduced in 1995 and are still one of the most important instruments of the securities market of Armenia (85-95% of all operations of the secondary market in the last five years). The maturity yield of the state bonds during the last 7 years has been between 20% to 100%. Despite such a high proportion in the structure of the market, the low liquidity of the secondary market of state bonds does not allow building the yield curve with the help of standard meth-ods and complicates the assessment of the interest rates in the economics. Authors build the yield curve based on the primary auctions which allows to more accurately assess the structure of the interest rates in the current situation. In this case the authors are solving a typical problem with missing data, for which they use two independent methods. One of the methods is based on space representation and the other one is based on sequencing correlated measures. Both methods are tested on generated data. Such approach may have methodological significance because it will allow comparison of the two methods of restoring missing data.

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Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 04-03e.

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Length: 56 pages
Date of creation: 27 Feb 2004
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Handle: RePEc:eer:wpalle:04-03e

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Related research
Keywords: Armenia; interest rate; missing data; Kalman filter; Kriging method;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  1. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January. [Downloadable!] (restricted)
  2. Campbell, John Y, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-52, Summer. [Downloadable!] (restricted)
    Other versions:
  3. N. Gregory Mankiw & Jeffrey A. Miron, 1986. "The Changing Behavior of the Term Structure of Interest Rates," NBER Working Papers 1669, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Nicolas A. Cuche & Martin K. Hess, 1999. "Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland," Working Papers 99.02, Swiss National Bank, Study Center Gerzensee. [Downloadable!]
  5. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July. [Downloadable!] (restricted)
    Other versions:
  6. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-30, June. [Downloadable!] (restricted)
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