Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83556
Authors: 
Reppa, Zoltán
Year of Publication: 
2008
Series/Report no.: 
MNB Occasional Papers 73
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.
Subjects: 
yield curve
interest rate swaps
JEL: 
E43
G12
Document Type: 
Working Paper

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