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RESEARCH PAPER
Yield Curve Modelling with the Nelson-Siegel Method for Poland
 
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SGH Warsaw School of Economics, Poland
CORRESPONDING AUTHOR
Tomasz P. Kostyra   

SGH Warsaw School of Economics, Poland
Submission date: 2021-09-22
Final revision date: 2022-01-09
Acceptance date: 2022-04-13
Publication date: 2022-06-30
 
GNPJE 2022;310(2):44–56
 
KEYWORDS
JEL CLASSIFICATION CODES
ABSTRACT
Yield curve modelling is an essential task for the governance of the modern economy and in particular for financial market participants, and hence it is an extensively researched topic. This paper presents yield curve modelling using the Nelson-Siegel approach for Poland, which was recently recognised as a developed country. Yield curve studies available for Poland are quite scarce and were conducted when Poland was still classified as a developing country. Therefore, it is worthwhile to examine the yield curve construction after three decades of economic transition. This study offers a model which, with certain assumptions, derives zero-coupon yield curves from the market prices of Treasury bonds. The simplifying assumptions reduce model development time, while delivering yield curves of higher accuracy than those commercially available.
ACKNOWLEDGEMENTS
I wish to thank Michał Rubaszek, Piotr Bańbuła, Bronagh McGuinness as well as anonymous reviewers for their helpful comments and suggestions.
 
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