Template-Type: ReDIF-Paper 1.0
Author-Name: Zoltán Reppa
Author-X-Name-First: Zoltán
Author-X-Name-Last: Reppa
Author-Email: reppaz@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank
Title: Estimating yield curves from swap, BUBOR and FRA data
Abstract: In this paper we estimate yield curves from Hungarian interest rate swap and money market data. Following general practice, we experiment with several models-differing in the functional form and objective function-and chose the model which performs best according to standard evaluation criteria. We find that the methods perform equally well in terms of residuals and out-of-sample fit; however, the smoothing spline method stands out when we consider the ability to fit the short end of the maturity spectrum, stability of estimation and plausibility of the estimated curves.
Length: 34 pages
Creation-Date: 2008
File-URL: http://www.mnb.hu/letoltes/op-73.pdf
File-Format: Application/pdf

Number: 2008/73
Classification-JEL: E43, G12.
Keywords: yield curve, interest rate swaps.
Handle: RePEc:mnb:opaper:2008/73