Munich Personal RePEc Archive

Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti

Andraž, Grum (2006): Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti. Published in: Financial stability report: Expert papers on financial stability No. Bank of Slovenia (May 2006): pp. 1-86.

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Abstract

Despite of the importance of term structure estimation for business and monetary purposes, Slovenian term structure has not yet been estimated. Partly the blame goes to underdeveloped bond market, characterized by high portion of foreign currency issues in Slovenian government bond outstanding, the lack of long term instruments and low liquidity on the secondary market. The liquidity improved with parallel OTC-DVP market introduction in September 2005 and consequently the information value of fixed income asset prices for term structure estimation purposes has improved significantly. In this paper we will present theoretical methods of static term structure estimation. The goals are to obtain initial estimates of Slovenian term structure, to identify the most suitable estimation method and to analyze the volatility movements of zero coupon yields and forward interest rates for different maturities in analyzed time period. Among applied models of term structure estimation, namely Nelson-Siegel model, Svensson model, Bsplines model, smoothing B-splines model and Merrill Lynch exponential splines model, Nelson-Siegel model proved to be superior in terms of goodness of fit measured as root mean square error (RMSE), mean absolute error (MAE), mean percentage error (MPE) and hit ratio. The resulted estimates are to the knowledge of the author initial estimates of Slovenian term structure. With OTC-DVP bond market introduction (as parallel bond market) the volatility of spot and forward rates for mid and long remind maturities has fallen. Volatility reduction is important, as 10 year benchmark bond yield is closely observed as one of Maastricht’s criteria which have to be fullfield before joining the EMU.

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