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Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice
[Vield curve construction using government bonds in the Czech republic]

Author

Listed:
  • Jiří Málek
  • Jarmila Radová
  • Filip Štěrba

Abstract

The paper deals with yield curve construction methods using coupon bonds in Czech bond market. Generally, there are more possibilities how to approach this problem: bootstraping, splines, parametric functions. Due to the lack of tradable public bonds and due to the fact that existing bonds do not pay coupons at the same date of the year, traditional bootstraping method could not be applied under Czech market conditions. It seemed appropriate to use parametrical solutions to the yield curve issue and minimise the sum of squares of differences between market and theoretical prices. There were presented three function types which arrived to similar results in the paper. The authors also used Svensson parametric function to demonstrate the possible use of parametric yield curve construction. It was shown that, after duration adjustment, it can indicate shift in market expectations regarding future short term interest rate moves, and thus regarding future monetary policy, pretty well.

Suggested Citation

  • Jiří Málek & Jarmila Radová & Filip Štěrba, 2007. "Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice
    [Vield curve construction using government bonds in the Czech republic]
    ," Politická ekonomie, University of Economics, Prague, vol. 2007(6), pages 792-808.
  • Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:624:p:792-808
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    References listed on IDEAS

    as
    1. Graciela L. Kaminsky, 1998. "Currency and banking crises: the early warnings of distress," International Finance Discussion Papers 629, Board of Governors of the Federal Reserve System (U.S.).
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    5. Joon-Ho Hahm & Frederic S. Mishkin, 2000. "Causes of the Korean Financial Crisis: Lessons for Policy," NBER Working Papers 7483, National Bureau of Economic Research, Inc.
    6. Carmen M. Reinhart & Kenneth S. Rogoff, 2004. "Serial Default and the "Paradox" of Rich-to-Poor Capital Flows," American Economic Review, American Economic Association, pages 53-58.
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    term structure of interest rates; Czech Republic; yield curve; government bonds; estimation of parametric functions; market expectations;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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