Interest Rates Time Structure and Domestic Bond Prices

Michal Slavík

Czech Journal of Economics and Finance (Finance a uver), 2001, vol. 51, issue 10, 591-607

Abstract: This paper considers and provides estimates of the term structure of interest rates based on observable bond prices. The paper opens with an account of the usefulness of the so-called zero-coupon yield curve as a tool for term structure modelling. Toward this, three methods are considered ? the Canadian model, the Nelson-Siegel model and its extension in the Svensson model. The author thereupon presents n both the estimation technique and the possible model restrictions. This theoretical background is applied to an estimation of the zero-coupon yield curve estimation derived from data from the Czech coupon bond market. Because of the relatively small number of coupon bonds currently available on the Czech market, the best results are produced by the Nelson-Siegel model. The growing number of state bond issues on the market, however, should increases the relevance of the Svensson model accordingly.

Keywords: yield curve; term structure of interest rates; bonds (search for similar items in EconPapers)
JEL-codes: C59 E43 G12 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:51:y:2001:i:10:p:591-607

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