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The Czech Treasury Yield Curve from 1999 to the Present

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Abstract

The author estimates the Czech Treasury yield curve at a daily frequency from 1999 to the present. He uses the parsimonious yield curve model of Nelson and Siegel (1987), for which he suggests a parameter restriction that avoids abrupt changes in parameter estimates and thus allows for the economic interpretation of the model to hold. The estimation of the model parameters is based on market prices of Czech government bonds. The Nelson-Siegel model is shown to fit the Czech bond price data well without being over-parameterized. Thus, the model provides an accurate and consistent picture of the Czech Treasury yield curve evolution. The estimated parameters can be used to calculate spot rates and hence par rates, forward rates or the discount function for practically any maturity. To eh author´s knowledge, consistent time series of spot rates are not available for the Czech economy.

Suggested Citation

  • Kamil Kladívko, 2010. "The Czech Treasury Yield Curve from 1999 to the Present," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(4), pages 307-335, November.
  • Handle: RePEc:fau:fauart:v:60:y:2010:i:4:p:307-335
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    File URL: http://journal.fsv.cuni.cz/storage/1190_str_307_335_-_kladivko.pdf
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    Cited by:

    1. Hattori, Takahiro & Miyake, Hiroki, 2016. "The Japan Municipal Bond Yield Curve: 2002 to the Present," MPRA Paper 69725, University Library of Munich, Germany.

    More about this item

    Keywords

    yield curve; spot rates; treasury market; Nelson-Siegel;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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