Yield Curve Construction: A Note on the Moldovan bond market

Olesea Speian, Victoria Ganea and Constantinos Kyriakopoulos

Bulletin of Applied Economics, mics, vol. 9, issue 1, 9(1)

Abstract: In this note we apply the Nelson Siegel model on the Moldovan Government Securities market. In the Republic of Moldova although remarkable progress for the construction of a medium yield curve has been made during the last five years, the market still lacks the liquidity and depth level that would allow the application of market-based models for the credible description of the yields. Similar to countries with comparable stage of capital market development, the application of the Nelson Siegel model will provide a credible guidance for yields for tenors that either are not traded in the secondary market or even if they are traded the volume is so small that there is no a credible price and yield discovery mechanism.

Keywords: yield curve; bond market; liquidity level; Nelson – Siegel method (search for similar items in EconPapers)
JEL-codes: E43 E44 G10 G12 (search for similar items in EconPapers)
Date: mics
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