BFS 2002 |
|
Poster Presentation |
Petko Kalev, Brett Inder
This paper presents the results of estimating the zero coupon
yield curve from default free Australian treasury instruments
based on weekly observations of a recent time period: January 1992
$-$ January 2001. Pure discount bonds and implied forward rates,
although not observable for the entire yield curve, are extremely
useful for pricing, modelling and analyzing financial securities,
hence, the need to extract the theoretical yield curve from noisy
prices observed in the market place. Two popular models for curve
fitting, together with two specifications are adopted for
estimating zero coupon and forward yield rates. The six parameter
Svensson's model outperforms the more parsimonious Nelson-Siegel
four parameter functional form. During the considered time period
a structural break is detected in the zero coupon time series.