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Testing the performance of cubic splines and Nelson-Siegel model for estimating the zero-coupon yield curve
Eva Lorenčič, 2016, original scientific article

Abstract: Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of monetary and financial economics. Accurately fitting the term structure of interest rates is the backbone of a smoothly functioning financial market, which is why the testing of various models for estimating and predicting the term structure of interest rates is an important topic in finance that has received considerable attention for many decades. In this paper, we empirically contrast the performance of cubic splines and the Nelson-Siegel model by estimating the zero-coupon yields of Austrian government bonds. The main conclusion that can be drawn from the results of the calculations is that the Nelson-Siegel model outperforms cubic splines at the short end of the yield curve (up to 2 years), whereas for medium-term maturities (2 to 10 years) the fitting performance of both models is comparable.
Keywords: Cubic splines, Nelson-Siegel, yield curve, zero-coupon bonds, term structure of interest rates
Published in DKUM: 14.11.2017; Views: 1474; Downloads: 362
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Model of determining the stability of retail deposits with higher outflow rates
Aleksandra Murks Bašič, 2015, original scientific article

Abstract: Retail deposits are treated as one of the cheapest and most stable funding sources for banks, especially for those with high volumes of retail deposits. A bank defines three main categories of retail deposits that are subject to different outflow rates for the purpose of liquidity coverage requirements in reporting and compliance. The outflow rates for the first two main groups are 5% and 10% respectively, but for the third main group the bank calculates its own outflow rates. We analyzed the latter in this paper. Each bank should assign retail deposits to one of the three categories based on the number and type of predetermined risk factors. Risk factors are divided into two groups according to the degree of risk. The paper first describes the legislative framework, followed by the method of calculating higher outflow rates for retail deposits according to the historical movements and the expected volatility assessment in the situation of stress conditions. At the end of the paper, we briefly provide the future treatment of retail deposits with higher outflow rates.
Keywords: retail deposits, stability, transactional account, LCR, deposit guarantee scheme, depositors, higher outflow rates, Basel III
Published in DKUM: 14.11.2017; Views: 1509; Downloads: 169
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Re-examination of the purchasing power parity in Central and Eastern European economies
Ahmad Zubaidi Baharumshah, Jani Bekő, Darja Boršič, 2011, published scientific conference contribution

Abstract: The empirical record on PPP tests for transition economies is far from being so opulent as it is for the developed market economies. This paper attempts to fill this gap by scrutinizing the theory of PPP on a sample of Central and Eastern European economies. The paper has two main advances with respect to previous PPP studies. First, it employs a monthly data base on real exchange rates for a panel of 12 Central and Eastern European economies by testing the theory separately with respect to US dollar and with respect to Euro. Second, we utilise a panel unit root test that involves the estimation of the ADF regression in a SUR framework. Since our study found support for the validity of PPP in some reforming European economies, special attention should be devoted to individual country-specific factors that cause PPP deviations.
Keywords: purchasing power parity, real exchange rates, stationarity test, exchange rate, currency, exchange rates, macroeconomics, parity, purchasing power of money, purchasing power
Published in DKUM: 21.07.2017; Views: 1292; Downloads: 170
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