Interest Rate Term Structure in Latvia in the Monetary Policy Context

Jelena Zubkova
Additional contact information
Jelena Zubkova: Bank of Latvia

No 2003/03, Working Papers from Latvijas Banka

Abstract: This paper examines applicability of various models of the yield curve construction to the Latvian money and government securities markets, and analyses the information content implied in the yield curve. The rejection of hypothesis about the existence of a zero risk premium leads to an inference that forward rates in general do not ensure unbiased forecasts of spot rates, and the pure interest rate expectations theory cannot be applied in interest rate forecasting. Long-term interest rates contain a risk premium that is other than zero. This conforms well with the results obtained from studies conducted on the financial markets of developed countries.

Keywords: term structure of interest rates; risk premium; the Nelson–Siegel model (search for similar items in EconPapers)
JEL-codes: D84 E43 E47 G10 (search for similar items in EconPapers)
Date: 2003-12-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bank.lv/public_files/images/img_lb/izd ... e_term_structure.pdf (application/pdf)
https://www.macroeconomics.lv/sites/default/files/int_rate_term_structure.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:ltv:wpaper:200303

Access Statistics for this paper

More papers in Working Papers from Latvijas Banka Contact information at EDIRC.
Bibliographic data for series maintained by Konstantins Benkovskis ().