Estimating yield curves from swap, BUBOR and FRA data

Zoltán Reppa

No 2008/73, MNB Occasional Papers from Magyar Nemzeti Bank (Central Bank of Hungary)

Abstract: In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria. We find that the methods perform equally well in terms of residuals and out-of-sample fit; however, the smoothing spline method stands out when we consider the ability to fit the short end of the maturity spectrum, stability of estimation and plausibility of the estimated curves.

Keywords: yield curve; interest rate swaps. (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2008
New Economics Papers: this item is included in nep-fmk and nep-mac
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Citations: View citations in EconPapers (2)

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