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Title:Testing the performance of cubic splines and Nelson-Siegel model for estimating the zero-coupon yield curve
Authors:Lorenčič, Eva (Author)
Files:.pdf Nase_gospodarstvoOur_economy_2016_Lorencic_Testing_the_Performance_of_Cubic_Splines_and_Nelson-Siegel_Model_for_Estimating_the_Zero-coup.pdf (751,46 KB)
 
URL https://www.degruyter.com/view/j/ngoe.2016.62.issue-2/ngoe-2016-0011/ngoe-2016-0011.xml
 
Language:English
Work type:Scientific work (r2)
Typology:1.01 - Original Scientific Article
Organization:EPF - Faculty of Business and Economics
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
Year of publishing:2016
Number of pages:str. 42-50
Numbering:št. 2, Letn. 62
ISSN:0547-3101
UDC:303.725.35
ISSN on article:0547-3101
URN:URN:SI:UM:DK:JLMG5B8Z
COBISS_ID:12375836 Link is opened in a new window
DOI:10.1515/ngoe-2016-0011 Link is opened in a new window
License:CC BY-NC-ND 4.0
This work is available under this license: Creative Commons Attribution Non-Commercial No Derivatives 4.0 International
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Downloads:79
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Record is a part of a journal

Title:Naše gospodarstvo
Shortened title:Naše gospod.
Publisher:Ekonomsko-poslovna fakulteta Univerze v Mariboru, Društvo ekonomistov Maribor, Ekonomski center Maribor, Sciendo
ISSN:0547-3101
COBISS.SI-ID:751364 New window

Secondary language

Language:Slovenian
Title:Testiranje učinkovitosti modela kubičnih zlepkov in Nelson-Sieglovega modela pri ocenjevanju krivulje donosa brezkuponskih vrednostnih papirjev
Abstract:Razumevanje razmerja med obrestnimi merami in časom do dospelosti vrednostnih papirjev je osnovni pogoj za razvoj in ovrednotenje pravilnosti finančne teorije. Ta tematika je zato v osrčju monetarne in finančne ekonomije. Natančno prilagajanje terminske strukture obrestnih mer je hrbtenica tekoče delujočega finančnega trga. To je razlog, da je testiranje različnih modelov, ki ocenjujejo in napovedujejo terminsko strukturo obrestnih mer, na področju financ pomembna vsebina, ki je že nekaj desetletij deležna precejšnje pozornosti. V tem članku empirično primerjamo učinkovitost modela kubičnih zlepkov in Nelson-Sieglovega modela, tako da ocenimo donosnost brezkuponskih avstrijskih državnih vrednostnih papirjev. Ključni sklep, ki ga lahko izpostavimo na podlagi dobljenih rezultatov, je, da Nelson-Sieglov model bolje aproksimira brezkuponsko krivuljo donosa na kratkem koncu (do dveh let), na srednjem delu krivulje donosa (od dveh do desetih let) pa med rezultati obeh modelov ni bistvenih razlik.
Keywords:finančne analize, ekonometrija, modeli, kubični zlepki, Nelson-Sieglov model, krivulja donosa, brezkuponske obveznice, terminska struktura obrestnih mer


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