Detail publikace

Yield Curve Dynamics: Regional Common Factor Model

Autor: PhDr. Jakub Seidler Ph.D.,
PhDr. Boril Šopov, MSc., LL.M.,
Typ: IES Working Papers
Rok: 2010
Číslo: 17
ISSN / ISBN:
Publikováno v: IES Working Papers 17/2010
Místo vydání: Prague
Klíčová slova: Dynamic Factor Model, Kalman Filter, Nelson-Siegel, State Space, Regional Yield Curve, Principal Component Analysis
JEL kódy: C51, C53, G17
Citace: Šopov, B., Seidler, J. (2010). “Yield Curve Dynamics: Regional Common Factor Model” IES Working Paper 17/2010. IES FSV. Charles University.
Abstrakt: 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.
Ke stažení: WP 2010_17_Sopov, Seidler

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