Aufsatz
Comparing different methods for the estimation of interbank intraday yield curves
Abstract
In this study, we compare three different models, namely, the Nelson–Siegel model (NSM), the Svensson model (SVM), and the Diebold–Li model (DLM), for the estimation of an intraday yield curve on the Italian interbank credit market e‐MID. Using a sample, which spans from October 2005 until March 2010, the first important finding is that all three models are highly suitable for the estimation of an intraday yield curve providing superior empirical results when compared with similar works on e‐MID. The second important finding is that, based on different in‐sample statistics, the SVM dominates the other two models before, during, and after the financial crisis from 2007. Moreover, the NSM seems to dominate the DLM although these differences in goodness‐of‐fit between these two models may not be statistically significant. Our findings are of high practical importance from different perspectives regarding interbank credit markets, including the better understanding of trading processes, the optimization of banks' trading strategies, and monetary policy implications. Finally, our findings can be seen as the starting point for further analyses in this research area.
Citation
In: The Journal of Corporate Accounting & Finance Volume 31 / Issue 3 (2020-01-16) , S. 57-75 ; EISSN 1097-0053Sponsorship
Gefördert im Rahmen des Projekts DEALCitation
@article{doi:10.17170/kobra-202007221480,
author={Jeleskovic, Vahidin and Demertzidis, Anastasios},
title={Comparing different methods for the estimation of interbank intraday yield curves},
journal={The Journal of Corporate Accounting & Finance},
year={2020}
}
0500 Oax 0501 Text $btxt$2rdacontent 0502 Computermedien $bc$2rdacarrier 1100 2020$n2020 1500 1/eng 2050 ##0##http://hdl.handle.net/123456789/11654 3000 Jeleskovic, Vahidin 3010 Demertzidis, Anastasios 4000 Comparing different methods for the estimation of interbank intraday yield curves / Jeleskovic, Vahidin 4030 4060 Online-Ressource 4085 ##0##=u http://nbn-resolving.de/http://hdl.handle.net/123456789/11654=x R 4204 \$dAufsatz 4170 5550 {{Interbankgeschäft}} 5550 {{Zinsstruktur}} 7136 ##0##http://hdl.handle.net/123456789/11654
2020-07-23T15:36:52Z 2020-07-23T15:36:52Z 2020-01-16 doi:10.17170/kobra-202007221480 http://hdl.handle.net/123456789/11654 Gefördert im Rahmen des Projekts DEAL eng Namensnennung 4.0 International http://creativecommons.org/licenses/by/4.0/ Diebold-Li model e-MID interbank credit market intraday yield curve Nelson-Siegel model Swennsson model 330 Comparing different methods for the estimation of interbank intraday yield curves Aufsatz In this study, we compare three different models, namely, the Nelson–Siegel model (NSM), the Svensson model (SVM), and the Diebold–Li model (DLM), for the estimation of an intraday yield curve on the Italian interbank credit market e‐MID. Using a sample, which spans from October 2005 until March 2010, the first important finding is that all three models are highly suitable for the estimation of an intraday yield curve providing superior empirical results when compared with similar works on e‐MID. The second important finding is that, based on different in‐sample statistics, the SVM dominates the other two models before, during, and after the financial crisis from 2007. Moreover, the NSM seems to dominate the DLM although these differences in goodness‐of‐fit between these two models may not be statistically significant. Our findings are of high practical importance from different perspectives regarding interbank credit markets, including the better understanding of trading processes, the optimization of banks' trading strategies, and monetary policy implications. Finally, our findings can be seen as the starting point for further analyses in this research area. open access Jeleskovic, Vahidin Demertzidis, Anastasios doi:10.1002/jcaf.22438 Interbankgeschäft Zinsstruktur publishedVersion EISSN 1097-0053 Issue 3 The Journal of Corporate Accounting & Finance 57-75 Volume 31 false
The following license files are associated with this item: