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Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel
[Estimation of a yield curve for Madagascar using the Nelson-Siegel model]

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  • Rasamoelison, Andrianantenaina Michel Edouard

Abstract

The aim of this research is to estimate the term structure of interest rates in Madagascar using the Nelson-Siegel model. The Malagasy financial market consists mainly of the money market, given the absence of a stock exchange and an underdeveloped bond market. This study uses monthly data on treasury bills with maturities of 1, 3, 6, 9 and 13 months for the period from February 2018 to November 2022. Non-linear regression was employed to estimate the model parameters (β0, β1, β2, and λ) using R software. The results indicate the suitability of the Nelson-Siegel model in capturing the observed dynamics of the yield curve, demonstrating a close relationship between estimated and observed rates. The main results show positive and stable long-term yield levels (β0), negative slope coefficients (β1) suggesting potential short-term monetary policy effects, and medium-term curvature factors (β2) reflecting market sensitivity. Despite negative slopes, the yield curve shows an upward trend, highlighting a unique interaction between the coefficients and the underlying macroeconomic environment. This study highlights the applicability of the Nelson-Siegel model to the Malagasy context, and provides insight into the structure of interest rates in an emerging financial market. Future research could explore extensions such as the Svensson model to refine understanding and forecasting capabilities.

Suggested Citation

  • Rasamoelison, Andrianantenaina Michel Edouard, 2024. "Estimation d’une courbe des taux pour Madagascar par le modèle de Nelson-Siegel [Estimation of a yield curve for Madagascar using the Nelson-Siegel model]," MPRA Paper 122863, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:122863
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    References listed on IDEAS

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    1. Svensson, Lars E O, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers 1051, C.E.P.R. Discussion Papers.
    2. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
    3. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
    4. Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua, 1996. "Estimation de modèles de la structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 47(3), pages 511-519.
    5. Zoricic, Davor & Orsag, Silvije, 2013. "Parametric Yield Curve Modeling In An Illiquid And Undeveloped Financial Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 4(3), pages 243-252.
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    More about this item

    Keywords

    Keywords : Nelson-Siegel model; Madagascar; term structure of interest rates; monetary policy; financial markets.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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