Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel

Rasamoelison, Andrianantenaina Michel Edouard (2024): Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel.

Abstract

The aim of this research is to estimate the term structure of interest rates in Madagascar using the Nelson-Siegel model. The Malagasy financial market consists mainly of the money market, given the absence of a stock exchange and an underdeveloped bond market. This study uses monthly data on treasury bills with maturities of 1, 3, 6, 9 and 13 months for the period from February 2018 to November 2022. Non-linear regression was employed to estimate the model parameters (β0, β1, β2, and λ) using R software. The results indicate the suitability of the Nelson-Siegel model in capturing the observed dynamics of the yield curve, demonstrating a close relationship between estimated and observed rates. The main results show positive and stable long-term yield levels (β0), negative slope coefficients (β1) suggesting potential short-term monetary policy effects, and medium-term curvature factors (β2) reflecting market sensitivity. Despite negative slopes, the yield curve shows an upward trend, highlighting a unique interaction between the coefficients and the underlying macroeconomic environment. This study highlights the applicability of the Nelson-Siegel model to the Malagasy context, and provides insight into the structure of interest rates in an emerging financial market. Future research could explore extensions such as the Svensson model to refine understanding and forecasting capabilities.

• Item Type: MPRA Paper
• English Title: Estimation of a yield curve for Madagascar using the Nelson-Siegel model
• Language: French
• Keywords: Keywords : Nelson-Siegel model, Madagascar, term structure of interest rates, monetary policy, financial markets.
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects

References

Annaert, J., Claes, A. G. P., De Ceuster, M. J. K., & Zhang, H. (2012). Estimating the Yield Curve Using the Nelson-Siegel Model : A Ridge Regression Approach. SSRN Electronic Journal.

Broze, L., Scaillet, O., & Zakoïan, J.-M. (1996). Estimation de modèles de la structure par terme des taux d’intérêt. Revue économique, 47(3), 511‑519.

Diebold, F. X., & Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130(2), 337‑364.

Nelson, C. R., & Siegel, A. F. (1987). Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4), 473‑489.

Saminirina A., Veronicz R. (2018) Rapport sur la stabilité financière, Banky Foiben’i Madagasikara, n° 6, 75.

Svensson, Lars E.O. (September 1994) Estimating and Interpreting Forward Interest Rates : Sweden 1992-1994. IMF Working Paper No. 94/114.

Zoricic, Davor, and Silvije Orsag. (2013). Parametric yield curve modelling in an illiquid and undeveloped financial market. UTMS Journal of Economics 4 (3): 243–252.