Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti
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.
|Date of creation:||May 2006|
|Publication status:||Published in Financial stability report: Expert papers on financial stability Bank of Slovenia (2006): pp. 1-86|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Litzenberger, Robert H & Rolfo, Jacques, 1984. " An International Study of Tax Effects on Government Bonds," Journal of Finance, American Finance Association, vol. 39(1), pages 1-22, March.
- Jordan, James V, 1984. " Tax Effects in Term Structure Estimation," Journal of Finance, American Finance Association, vol. 39(2), pages 393-406, June.
- Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
- Tanggaard, Carsten, 1997. "Nonparametric Smoothing of Yield Curves," Review of Quantitative Finance and Accounting, Springer, vol. 9(3), pages 251-267, October.
- Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
- Basma Bekdache & Christopher F. Baum, "undated".
"The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates,"
Computing in Economics and Finance 1997
72, Society for Computational Economics.
- Basma Bekdache & Christopher F. Baum, 1997. "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates," Boston College Working Papers in Economics 372, Boston College Department of Economics.
- McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
- Tom Doan, "undated". "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
- McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-830, June.
- David J. Bolder & Grahame Johnson & Adam Metzler, 2004. "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates," Staff Working Papers 04-48, Bank of Canada.
- Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," FRB Atlanta Working Paper 97-10, Federal Reserve Bank of Atlanta.
- 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.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
- Iwan Meier, 1999. "Estimating The Term Structure of Interest Rates: The Swiss Case," Working Papers 99.06, Swiss National Bank, Study Center Gerzensee. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:4876. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.