Current Issue
Past Issues
About the Journal
Aims and Scope
Publisher
Editorial Board
Publishing Ethics
Indexing and Archiving
Copyright, Licensing and Access
For Authors
Submission Guidelines
Publication Fees
Peer-review Process
Editorial and Production Processes
Corrections and Retractions
Publishing Ethics
Copyright, Licensing and Access
Contact Us
RESEARCH PAPER
Yield Curve Modelling with the Nelson-Siegel Method for Poland
1
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.
REFERENCES (20)
1.
Annaert J., Claes A. G., De Ceuster M. J., Zhang, H. [2013], Estimating the spot rate curve using the Nelson–Siegel model: A ridge regression approach, International Review of Economics & Finance, 27: 482–496.
2.
Diebold F. X., Li C. [2006], Forecasting the term structure of government bond yields, Journal of Econometrics, 130(2): 337–364.
3.
Diebold F. X., Rudebusch G. D., Aruoba B. S. [2006], The macroeconomy and the yield curve: a dynamic latent factor approach, Journal of Econometrics, 131(1–2): 309–338.
4.
Dziwok E. [2013], Weryfikacja modeli krzywej dochodowości na podstawie metod dynamicznych, Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 323: 66–74.
5.
Geyer A., Mader, R. [1999], Estimation of the term structure of interest rates – A parametric approach, Working Papers 37, Oesterreichische Nationalbank.
6.
Gilli M., Große S., Schumann E. [2010], Calibrating the Nelson-Siegel-Svensson model, available at SSRN 1676747.
7.
Glova J. [2010], Matrix theory application in the bootstrapping method for the term structure of interest rates, Economic Analysis, 43(1–2): 44–49.
8.
Hladíková H., Radová J. [2012], Term structure modelling by using Nelson-Siegel model, European Financial and Accounting Journal, 7(2): 36–55.
9.
Ibanez F. [2015], Calibrating the dynamic Nelson-Siegel model: A practitioner approach, Working Papers 774, Central Bank of Chile.
10.
Kliber P. [2009], Estymacja struktury terminowej stóp procentowych w Polsce, Bank i Kredyt, 40 (1): 107.
11.
Kostyra T. P., Rubaszek M. [2020], Forecasting the yield curve for Poland, Econometric Research in Finance, 5(2): 103–117.
12.
Marciniak M. [2006], Yield curve estimation at the National Bank of Poland, Bank i Kredyt, 10: 52–74.
13.
Munk C. [2004], Fixed income analysis: Securities, pricing, and risk management, Lecture notes, Department of Accounting and Finance, University of Southern Denmark.
14.
Nelson C. R., Siegel A. F. [1987], Parsimonious Modeling of Yield Curves, The Journal of Business, 60(4): 473–89.
15.
Nymand-Andersen P. [2018], Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves, Statistics Paper Series 27, ECB.
16.
Rubaszek M. [2016], Forecasting the yield curve with macroeconomic variables, Econometric Research in Finance, 1(1): 1–21.
17.
Sengupta S. [2010, February 10], Modelling the zero coupon yield curve: A regression based approach [Paper presentation], 1 2th Global Conference of Actuaries, Mumbai, India.
18.
Sepielak P., Borowski K. [2013], Zastosowanie modelu Svenssona w procesie modelowania krzywej dochodowości polskich papierów skarbowych, Zarządzanie i Finanse 11(2, cz. 4): 387–400.
19.
Svensson L. E. [1994], Estimating and Interpreting Forward Interest Rates: Sweden 1992–1994, NBER Working Papers 4871, National Bureau of Economic Research, Inc.
20.
Yu W., Zivot E. [2010], Forecasting the term structures of Treasury and corporate yields: Dynamic Nelson-Siegel models evaluation, International Journal of Forecasting 27(2), 579–591.
| eISSN: | 2300-5238 |
© 2006-2024 Journal hosting platform by Bentus
We process personal data collected when visiting the website. The function of obtaining information about users and their behavior is carried out by voluntarily entered information in forms and saving cookies in end devices. Data, including cookies, are used to provide services, improve the user experience and to analyze the traffic in accordance with the Privacy policy. Data are also collected and processed by Google Analytics tool (more).
You can change cookies settings in your browser. Restricted use of cookies in the browser configuration may affect some functionalities of the website.
You can change cookies settings in your browser. Restricted use of cookies in the browser configuration may affect some functionalities of the website.
