Interest Rates Time Structure and Domestic Bond Prices
This paper considers and provides estimates of the term structure of interest rates based on observable bond prices. The paper opens with an account of the usefulness of the so-called zero-coupon yield curve as a tool for term structure modelling. Toward this, three methods are considered ? the Canadian model, the Nelson-Siegel model and its extension in the Svensson model. The author thereupon presents n both the estimation technique and the possible model restrictions. This theoretical background is applied to an estimation of the zero-coupon yield curve estimation derived from data from the Czech coupon bond market. Because of the relatively small number of coupon bonds currently available on the Czech market, the best results are produced by the Nelson-Siegel model. The growing number of state bond issues on the market, however, should increases the relevance of the Svensson model accordingly.
Volume (Year): 51 (2001)
Issue (Month): 10 (October)
|Contact details of provider:|| Postal: Opletalova 26, CZ-110 00 Prague|
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:51:y:2001:i:10:p:591-607. 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: (Lenka Herrmannova)
If references are entirely missing, you can add them using this form.