Naslov
How to evaluate the yield curve in a transition economy

Autori
Aljinović, Zdravka ; Šego, Boško

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 5th International Conference on Enterprise in Transition (Book of Extended Abstracts, CD ROM with full papers) / Reić, Zlatan - Split : Ekonomski fakultet Sveučilišta u Splitu, 2003, 1152-1165

Skup
Fifth International Conference on Enterprise in Transition

Mjesto i datum
Tučepi, Hrvatska; Split, Hrvatska, 22.05.2003. - 24.05.2003

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
yield curve ; new term structure models ; Croatian financial market

Sažetak
Evaluation of the yield curve is standard on financial markets in developed countries. A well-evaluated yield curve reflects and forecasts the condition of an economy and is an important factor in decision making of all participants on the financial market and beyond it. With development of financial market in transition countries an increasing need arises for a well-evaluated yield curve. This paper firstly presents the elements of the new theory of the term structure of interest rates, i.e. the most renowned single factor diffusion models of interest rates (CIR and Vasicek model), and then applies it on the Croatian government securities market. Although in Croatia, considering the development level of financial market, there are many limiting factors in application of these models, the authors have evaluated and explained the yield curve for 30 dates in the course of 2001.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA