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Estimating yield curves from swap, BUBOR and FRA data

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  • Zoltán Reppa

    (Magyar Nemzeti Bank)

Abstract

In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria. We find that the methods perform equally well in terms of residuals and out-of-sample fit; however, the smoothing spline method stands out when we consider the ability to fit the short end of the maturity spectrum, stability of estimation and plausibility of the estimated curves.

Suggested Citation

  • Zoltán Reppa, 2008. "Estimating yield curves from swap, BUBOR and FRA data," MNB Occasional Papers 2008/73, Magyar Nemzeti Bank (Central Bank of Hungary).
    • Handle: RePEc:mnb:opaper:2008/73
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    File URL: http://www.mnb.hu/letoltes/op-73.pdf
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    Cited by:

    1. Klára Pintér & György Pulai, 2009. "Measuring interest rate expectations from market yields: topical issues," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 4(2), pages 34-42, July.
    2. Anastasios Demertzidis & Vahidin Jeleskovic, 2021. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," JRFM, MDPI, vol. 14(5), pages 1-23, May.

    More about this item

    Keywords

    yield curve; interest rate swaps.;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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