YIELD CURVE ESTIMATION IN THE ILLIQUID MARKET: FRAMEWORK, MODELS AND EMPIRICAL STUDY

In this paper, we propose a framework to estimate the yield curve in the illiquid market. Within this framework, seven different curve-fitting models are compared from four aspects with the trading data of government bonds listed in the Shanghai Stock Exchange (SSE) of China. We find that the exponential spline model is optimal for this market. The characteristics and reasons underlying SSE interest rate fluctuations in the past two years are also analyzed.

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Year of publication:	2006
Authors:	XIE, CHI ; CHEN, HUI ; YU, XIANG
Published in:	International Journal of Information Technology & Decision Making (IJITDM). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6845. - Vol. 05.2006, 03, p. 467-481
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Illiquid market \| yield curve of the government bond \| curve fitting

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004971644