Оригинална статия Математически и количествени методи

МОДЕЛИРАНЕ НА КРИВАТА НА ДОХОДНОСТ В НЕРАЗВИТ ФИНАНСОВ ПАЗАР: СЛУЧАЯТ НА БЪЛГАРИЯ

Мартина Макариева - СУ „Св. Кл. Охридски“
Получена: 31 май 2022
Ревизирана:
Публикувана:
Сваляния: 0
Търси по JEL таг 0
Книжка 2/2021
JEL C51 C53 E44
DOI https://doi.org/10.56497/etj2166202

Резюме

Направен е опит за моделиране на кривата на доходност в неразвит и неликвиден финансов пазар с помощта на параметричния модел Nelson-Siegel-Svensson. Изследването установява, че неликвидните финансови пазари изглежда не намаляват или не изкривяват способността на модела да се използва като инструмент за получаване на ясна картина по отношение на формата и динамиката на кривата на доходност. Чрез извадково и извънизвадково представяне на модела е илюстрирано как той може да предостави консистентна рамка за прогнозиране на кривата на доходност при различни макроикономически сценарии, които могат да бъдат широко използвани за симулации при провеждане на различни политики.

Референции

Analytics, M. (2014). Principal Component Analysis for Yield Curve Modelling, https://www.moodysanalytics.com/-/media/whitepaper/2014/2014-29-08-pca-for-yield- curve-modelling.pdf

Anderson et al. (1996). Estimating and Interpreting the Yield Curve. Wiley.

Ang, A.,Piazzesi, M. and Wei, M. (2006). What Does the Yield Curve Tell us about GDP growth. Journal of Econometrics, Vol. 131, рр. 359-403.

Bliss, R. (1996). Testing Term Structure Estimation Methods. Working Paper 96-12a. Federal Reserve Bank of Atlanta.

Carriero, A., Favero, C. and Kaminska, I. (2006). Financial factors, macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates. Journal of Econometrics, Vol. 131, N 1-2, рр. 339-358.

Chou, J., Su, Y., Tang, H. and Chen, C. (2009). Fitting the term structure of interest rates in illiquid market: Taiwan experience. Investment Management and Financial Innovations 6 (1), рр. 101-116.

Dewachter, H. and Lyrio, M. (2006). Macro factors and the term structure of interest rates. Journal of Money, Credit, and Banking, Vol. 38, N 1, February, рр. 119-140.

Diebold, F. X. (2006). The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach. Journal of Econometrics, 131, рр. 309-338.

Diebold, F. X., Rudebusch, G. D. and Aruoba, S. B. (2006). The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach. Journal of Econometrics, 131, рр. 309–338.

Duffie, D., Kan, R. (1996). A Yield-Factor Model of Interest Rates. Mathematical Finance, 6, рр. 379-406.

Dutta, G. S. (2005). Term Structure Estimation in Illiquid Government Bond Markets: An Empirical Analysis for India. Journal of Emerging Market Finance, 4 (5), рр. 63-80.

Evans, C. L. & Marshall, D. A. (2007). Economic determinants of the nominal treasury yield curve. Journal of Monetary Economics, 54, рр. 1986-2003.

Grum, A. (2006). The Development of the Slovenian government debt market and estimation of the yield curve: Financial Stability Report. Expert Papers, Banka Slovenije, Ljubljana.

Gürkaynak R., Wright, J. (2012). Macroeconomics and the Term Structure. Journal of Economic Literature, Vol. 50, N 2, June, рр. 331-367, https://www.aeaweb. org/articles?id=10.1257/jel.50.2.331

Harvey, А. С. (1989). Forecasting Structural Time Series Models and the Kalman Filter. Cambridge University Press.

Hladíková H, Radová, J. (2012). Term Structure Modelling by Using NelsonSiegel Model. European Financial and Accounting Journal, 72(2), рр. 36-55.

Hoffmaister, A., Roldós, J. and Tuladhar, A. (2010). Yield Curve Dynamics and Spillovers in Central and Еastern European Countries. International Monetary Fund Working Paper N WP/10/51, February.

Hordahl, P., Tristani, O. and Vestin, D. (2006). A joint econometric model of macroeconomic and term structure dynamics. Journal of Econometrics, Elsevier Vol. 131, N 1-2, рр. 405-444.

Kladívko, K. (2010). The Czech Treasury Yield Curve from 1999 to the Present. Journal of Economics and Finance, 60(4), рр. 307-335.

Knez, P., Litterman, R. and Scheinkman, J. (1994). Exploration into Factors Explaining Money Market Returns. Journal of Finance, 49, рр. 1861-1882.

Kučera, A., Dvořák, M., Komárková, Z. (2019). The Czech Government Yield Curve Decomposition at the Lower Bound. Czech Journal of Economics and Finance, N 1, http://journal.fsv.cuni.cz/storage/1427_02_36_kucera_final_issue_1_2019_.pdf69.

Minassian, G. (2005). Brady's odyssey of Bulgaria. Bulgarian National Bank, Discussion Paper DP/51/2005 (in Bulgarian).

Nelson, C. R., Siegel, A. F. (1987). Parsimonious Modelling of Yield Curves. Journal of Business, 60(4), pp. 473-489.

Nyholm, K. (2019). A Practitioners Guide to Yield Curve Modelling., https:// www.cambridge.org/core/elements/practitioners-guide-to-discretetime-yield-curve- modelling/6087FE5133D5F93D9BF5B955510BA643

Nymand-Andersen, P. (2018). Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank’s yield curves. European Central Bank, Statistics Paper Series, N 27.

Reppa, Z. (2009). A joint macroeconomic-yield curve model for Hungary. MNB Working Papers 2009/1. Central Bank of Hungary.

Rudebusch, G. D. and Williams, J. C. (2008). Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve. Federal Reserve Bank of San Francisco Working Paper No. 2007-16.

Rudebusch, G. D. and Wu, T. (2008). A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy. Economic Journal, Vol. 118, рр. 1-21.

Soderlind, P., Svensson, L. E. O. (1996). New techniques to extract market expectations from financial instruments. Working Paper WP 5877. National Bureau of Economic Research.

Subramanian, V. (2001). Term Structure Estimation in Illiquid Markets. Journal of Fixed Income 11 (1), рр. 77-86.

Svensson L. E. O. (1994). Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994. NBER Working Paper N 4871.

Svensson, L. E. O. (1995). Estimating forward interest rates with the Extended Nelson-Siegel method. Sveriges Riksbank Quarterly Review.

Virmani, V. (2006). Assessing NSE's Daily Zero Coupon Yield Curve Estimates: A Comparison with few Competing Alternatives. Working Paper No 2006-05-05. Indian Institute of Management.

Wan, E. A., and Merwe, R. V. D. (2001). The unscented Kalman. In: Kalman Filtering, Chapter 7, pp. 221-280. Wiley.

Zoricic, D. (2012). Yield curve modeling possibilities on the Croatian financial market. PhD thesis. University of Zagreb, Croatia Faculty of Economics and Business.

 

Изисквания за публикуване

Моля, запознайте се с изискванията, преди да продължите

Виж