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An Econometric Analysis of the Hungarian Sovereign Yield Curve

In: Proceedings of FIKUSZ 2010

Author

Listed:
  • Szabolcs Kopányi

    (Corvinus University of Budapest)

Abstract

This paper analyses the Hungarian sovereign yield curve via econometric methods. First I apply Principal Component Analysis (PCA) on my panel data consisting of zero coupon interest rates derived from government bond trading. This decomposition of the yield curve highlights important relationsips between identified factors and metrics of the term structure shape. As a second step, I implement a semi non-parametric model, as suggested by Gallant and Tauchen (1996). This way, one can understand governing processes of the sovereign yield curve without making arbitrary parametric assumptions. My empirical findings support statistical similarities between the Hungarian yield curve and, in the literature most often analysed, US term structure.

Suggested Citation

  • Szabolcs Kopányi, 2010. "An Econometric Analysis of the Hungarian Sovereign Yield Curve," Proceedings of FIKUSZ '10, in: László Áron Kóczy (ed.),Proceedings of FIKUSZ 2010, pages 139-148, Óbuda University, Keleti Faculty of Business and Management.
    • Handle: RePEc:pkk:sfyr10:139-148
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