Original scientific paper
https://doi.org/10.2478/zireb-2024-0016
Yield Curve Estimation Based on Government Security Prices in the Croatian Financial Market
Zrinka Orlović
orcid.org/0000-0003-2508-2658
; University of Zagreb Faculty of Economics and Business, Zagreb, Croatia
*
Davor Zoričić
; University of Zagreb Faculty of Economics and Business, Zagreb, Croatia
Zrinka Lovretin Golubić
orcid.org/0000-0002-6446-8505
; University of Zagreb Faculty of Economics and Business, Zagreb, Croatia
* Corresponding author.
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 ingovernment 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
Hrčak ID:
323276
URI
Publication date:
9.12.2024.
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