Estymacja krzywej dochodowości stóp procentowych dla polski
Estimation of the yield curve of interest rates in poland
Author(s): Adam WaszkowskiSubject(s): Economy, National Economy, Methodology and research technology, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: yield curve; Nelson-Siegel model; Svensson;
Summary/Abstract: The aim of this article is the estimation of the yield curve of interest rates in Poland. Two methods applied at central banks publishing this type of data have been presented- Nelson-Siegel method and Svensson method. The article reports the results of applying these methods for Poland subsequently.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XIII/2012
- Issue No: 3
- Page Range: 253-261
- Page Count: 9
- Language: Polish