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Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti

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  • Andraž, Grum

Abstract

Despite of the importance of term structure estimation for business and monetary purposes, Slovenian term structure has not yet been estimated. Partly the blame goes to underdeveloped bond market, characterized by high portion of foreign currency issues in Slovenian government bond outstanding, the lack of long term instruments and low liquidity on the secondary market. The liquidity improved with parallel OTC-DVP market introduction in September 2005 and consequently the information value of fixed income asset prices for term structure estimation purposes has improved significantly. In this paper we will present theoretical methods of static term structure estimation. The goals are to obtain initial estimates of Slovenian term structure, to identify the most suitable estimation method and to analyze the volatility movements of zero coupon yields and forward interest rates for different maturities in analyzed time period. Among applied models of term structure estimation, namely Nelson-Siegel model, Svensson model, Bsplines model, smoothing B-splines model and Merrill Lynch exponential splines model, Nelson-Siegel model proved to be superior in terms of goodness of fit measured as root mean square error (RMSE), mean absolute error (MAE), mean percentage error (MPE) and hit ratio. The resulted estimates are to the knowledge of the author initial estimates of Slovenian term structure. With OTC-DVP bond market introduction (as parallel bond market) the volatility of spot and forward rates for mid and long remind maturities has fallen. Volatility reduction is important, as 10 year benchmark bond yield is closely observed as one of Maastricht’s criteria which have to be fullfield before joining the EMU.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 4876.

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Date of creation: May 2006
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Handle: RePEc:pra:mprapa:4876

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  1. Tanggaard, Carsten, 1997. " Nonparametric Smoothing of Yield Curves," Review of Quantitative Finance and Accounting, Springer, vol. 9(3), pages 251-67, October.
  2. Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-48, May.
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  8. M S Mohanty, 2002. "Improving liquidity in government bond markets: what can be done?," BIS Papers chapters, in: Bank for International Settlements (ed.), The development of bond markets in emerging economies, volume 11, pages 49-80 Bank for International Settlements.
  9. Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," Working Paper 97-10, Federal Reserve Bank of Atlanta.
  10. Seppälä, Juha & Viertiö, Petri, 1996. "The Term Structure of Interest Rates: Estimation and Interpretation," Research Discussion Papers 19/1996, Bank of Finland.
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  13. David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Working Papers 04-48, Bank of Canada.
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