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Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia

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  • Gevorgyan Ruben
  • Melikyan Narine

Abstract

T-bills were introduced in 1995 and are still one of the most important instruments of the securities market of Armenia (85-95% of all operations of the secondary market in the last five years). The maturity yield of the state bonds during the last 7 years has been between 20% to 100%. Despite such a high proportion in the structure of the market, the low liquidity of the secondary market of state bonds does not allow building the yield curve with the help of standard meth-ods and complicates the assessment of the interest rates in the economics. Authors build the yield curve based on the primary auctions which allows to more accurately assess the structure of the interest rates in the current situation. In this case the authors are solving a typical problem with missing data, for which they use two independent methods. One of the methods is based on space representation and the other one is based on sequencing correlated measures. Both methods are tested on generated data. Such approach may have methodological significance because it will allow comparison of the two methods of restoring missing data.

Suggested Citation

  • Gevorgyan Ruben & Melikyan Narine, 2004. "Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia," EERC Working Paper Series 04-03e, EERC Research Network, Russia and CIS.
    • Handle: RePEc:eer:wpalle:04-03e
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Armenia; interest rate; missing data; Kalman filter; Kriging method;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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