English, Article edition: YIELD CURVE CONSTRUCTION USING GOVERNMENT BONDS IN THE CZECH REPUBLIC Jiří Málek; Jarmila Radová; Filip Štěrba

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Bookmark: http://trove.nla.gov.au/version/198081
Physical Description
  • article
Language
  • English

Edition details

Title
  • YIELD CURVE CONSTRUCTION USING GOVERNMENT BONDS IN THE CZECH REPUBLIC
Author
  • Jiří Málek
  • Jarmila Radová
  • Filip Štěrba
Physical Description
  • article
Notes
  • 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.
  • yield curve, term structure of interest rates, market expectations, government bonds, estimation of parametric functions, Czech Republic
  • RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:624:p:792-808
Language
  • English
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