The Czech Treasury Yield Curve from 1999 to the Present
Year: 2010 Volume: 60 Issue: 4 Pages: 307-335
Abstract: I estimate the Czech Treasury yield curve at a daily frequency from 1999 to the present. I use the parsimonious yield curve model of Nelson and Siegel (1987), for which I suggest 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 my knowledge, consistent time series of spot rates are not available for the Czech economy.
JEL classification: G1, E4, C5
Keywords: yield curve, spot rates, treasury market, Nelson-Siegel
RePEc: http://ideas.repec.org/a/fau/fauart/v60y2010i4p307-335.html
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