MODELLING THE BENCHMARK SPOT CURVE FOR THE SERBIAN MARKET

Mikica Drenovak and Branko Urošević

Economic Annals, 2010, vol. 55, issue 184, 29-57

Abstract: The objective of this paper is to estimate Serbian benchmark spot curves using the Svensson parametric model. The main challenges that we tackle are: sparse data, different currency denominations of short and longer term maturities, and infrequent transactions in the short-term market segment vs daily traded medium and long-term market segment. We find that the model is flexible enough to account for most of the data variability. The model parameters are interpreted in economic terms.

Keywords: fixed-income market; benchmark spot curves; yield curve modelling; Nelson-Siegel Model; Svensson model; fitting procedures (search for similar items in EconPapers)
JEL-codes: C02 C21 C61 G12 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.ekof.bg.ac.rs/wp-content/uploads/2014/06/184-1-2.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:beo:journl:v:55:y:2010:i:184:p:29-57

Ordering information: This journal article can be ordered from
http://ea.ekof.bg.ac.rs/

Access Statistics for this article

Economic Annals is currently edited by Will Bartlett

More articles in Economic Annals from Faculty of Economics and Business, University of Belgrade Contact information at EDIRC.
Bibliographic data for series maintained by Goran Petrić ().