An Econometric Analysis of the Hungarian Sovereign Yield Curve

Szabolcs Kopányi ()
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Szabolcs Kopányi: Corvinus University of Budapest

A chapter in Proceedings of FIKUSZ 2010, 2010, pp 139-148 from Óbuda University, Keleti Faculty of Business and Management

Abstract: This paper analyses the Hungarian sovereign yield curve via econometric methods. First I apply Principal Component Analysis (PCA) on my panel data consisting of zero coupon interest rates derived from government bond trading. This decomposition of the yield curve highlights important relationsips between identified factors and metrics of the term structure shape. As a second step, I implement a semi non-parametric model, as suggested by Gallant and Tauchen (1996). This way, one can understand governing processes of the sovereign yield curve without making arbitrary parametric assumptions. My empirical findings support statistical similarities between the Hungarian yield curve and, in the literature most often analysed, US term structure.

Keywords: term structure of interest rates; principal component analysis; semi non-parametric modelling (search for similar items in EconPapers)
Date: 2010
ISBN: 978-615-5018-05-3
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