Yield Curve Modelling with the Nelson-Siegel Method for Poland

Tomasz Kostyra

Gospodarka Narodowa. The Polish Journal of Economics, 2022, issue 2, 44-56

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: yield curve; bootstrapping; Nelson-Siegel model (search for similar items in EconPapers)
JEL-codes: C52 C55 E43 G12 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:gosnar:y:2022:i:2:p:44-56

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