Yield Curve Estimation Based on Government Security Prices in the Croatian Financial Market

Orlović Zrinka (), Zoričić Davor and Golubić Zrinka Lovretin
Additional contact information
Orlović Zrinka: University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia.
Zoričić Davor: University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia.
Golubić Zrinka Lovretin: University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia.

Zagreb International Review of Economics and Business, 2024, vol. 27, issue 2, 27-41

Abstract: This article investigates the estimation of the yield curve based on government security prices using the Nelson-Siegel model in the Croatian financial market. The yield curve was estimated for samples of government securities with and without currency clauses. Since the Croatian financial market is less developed characterized by limited trading activity in government bonds, Treasury bills were also included in the analysis. To examine the difference in the estimation of yield curve parameters between a less developed and a developed market, the U.S. sample was considered. The yield curve was estimated for the full US sample and for artificially created U.S. samples corresponding to the Croatian samples of government bonds with and without currency clauses. Despite the less developed Croatian financial market, it is possible to estimate the yield curve and derive meaningful economic interpretations from the estimates.

Keywords: Nelson-Siegel model; nonlinear optimization; prices of government securities; U.S. government securities (search for similar items in EconPapers)
JEL-codes: E43 G1 G12 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2478/zireb-2024-0016 (text/html)

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:vrs:zirebs:v:27:y:2024:i:2:p:27-41:n:1002

DOI: 10.2478/zireb-2024-0016

Access Statistics for this article

Zagreb International Review of Economics and Business is currently edited by Jurica Šimurina

More articles in Zagreb International Review of Economics and Business from Sciendo
Bibliographic data for series maintained by Peter Golla ().