Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83414
Authors: 
Šopov, Boril
Seidler, Jakub
Year of Publication: 
2010
Series/Report no.: 
IES Working Paper 17/2010
Abstract: 
In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies' yield curves: CZK, HUF, PLN and SKK. We propose a model to capture regional dynamics purely based on state space formulation. The contribution of this paper is twofold: we examine regional yield curve dynamics and we quantify regional interdependencies amongst considered currencies' yield curves. We conclude that the CZK yield curve possesses its own dynamics corresponding to country specific features, whereas other currencies' yield curves are strongly influenced by the regional level, the regional slope factor or both.
Subjects: 
dynamic factor model
kalman filter
Nelson-Siegel
state space
regional Yield Curve
principal component analysis
JEL: 
C51
C53
G17
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
365.01 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.