A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market
A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market
复制标题
非流动性市场利率收益率曲线的估算方法
DOI：
10.1177/0972652714552040
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发表时间：
2014
影响因子：
1.5
通讯作者：
Fathi Abid
中科院分区：
文献类型：
--
作者：
F. Chakroun;Fathi Abid
本文的目的是开发一种方法来估计利率收益率曲线及其动态在突尼斯债券市场，这被认为是一个流动性差的市场，交易量低。为了实现这一点，首先，我们应用三次样条插值方法来处理丢失的观测值问题。其次，我们着重于Vasicek（1977）和Cox-Ingersoll和Ross（CIR）（1985）的工作，我们估计了每一个模型，并使用普通最小二乘（OLS）和最大似然估计（MLE）方法讨论了它们在预测利率收益率曲线动态方面的性能。数据样本包括从柜台市场收集的2004年7月14日至2012年9月10日期间的国债价格。该评估由Matlab软件使用指定算法完成。结果表明，三次样条方法是准确的平均利率收益率曲线的建设。然后，Vasicek（1977）和CIR（1985）模型的估计产生了一个向上倾斜的收益率曲线，Vasicek（1977）模型显示出更大的能力来复制突尼斯债券市场短期利率的程式化事实。最后，收益率曲线的预测预测了未来的经济增长，其特征是更高的通货膨胀。JEL分类：G12
The aim of this article is to develop a methodology to estimate the interest rate yield curve and its dynamics in the Tunisian bond market, which is considered as an illiquid market with a low trading volume. To achieve this, first, we apply the cubic spline interpolation method to deal with the missing observation problem. Second, we focus on the work of Vasicek (1977) and Cox-Ingersoll and Ross (CIR) (1985), we estimate each model and discuss its performance in predicting the dynamics of the interest rate yield curve using ordinary least squares (OLS) and maximum likelihood estimation (MLE) methods. The data sample consists of Treasury bond prices for the period from 14 July 2004 to 10 September 2012 collected from over the counter market. This assessment is done by Matlab software using the specified algorithms. The results suggest that the cubic spline method is accurate for construction of the average interest rate yield curve. Then, the estimation of Vasicek (1977) and CIR (1985) models generate an upward sloping yield curves and the Vasicek (1977) model shows more ability to replicate the stylised facts of the short-term interest rates in the Tunisian bond market. Finally, the forecasting of the yield curve predicts an economic growth in the future characterised by a higher inflation. JEL Classification: G12