Naslov
Interest Rates in Croatia - Term Structure and the Influence of Economic Events

Autori
Aljinović, Zdravka ; Marasović, Branka ; Škrabić, Blanka

Izvornik
Proceedings of the … International Conference on Operational Research (1847-5566) 1 (2010); 89-102

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
term structure of interest rates; parsimonious and stochastic models; vector autoregression approach (VAR)

Sažetak
There are two main issues in the paper: 1) Various methods for yield curve estimation are presented and used on the Croatian bond market and 2) the influence of economic events (e.g. monetary policy decisions) on the level of the interest rates is evaluated. The first part of the paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted. The behavior of interest rates may be difficult to explain with large number of factors which affect yield curve. In the second part of the paper, the influence of some monetary policy decisions, precisely the influence of inflation and real money, on the level of the evaluated market interest rates has been measured by vector autoregression approach (VAR).

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA