Modelowanie krzywej dochodowości dla Polski z wykorzystaniem metody Nelsona-Siegla

Tomasz P. Kostyra

Gospodarka Narodowa-The Polish Journal of Economics, 2022, vol. 2022, issue 2

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.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/359261/files/Kostyra.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:polgne:359261

DOI: 10.22004/ag.econ.359261

Access Statistics for this article

More articles in Gospodarka Narodowa-The Polish Journal of Economics from Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().