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首页> 外文期刊>The journal of risk finance >The estimation of nominal and real yield curves from government bonds in Israel
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The estimation of nominal and real yield curves from government bonds in Israel

机译：以色列政府债券对名义和实际产量曲线的估计

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摘要

Purpose - The purpose of this research is to develop and test a mathematical method of deriving zero yield curve from market prices of government bonds. Design/methodology/approach - The method is based on a forward curve approximated by a linear (or piecewise constant) spline and should be applicable even for markets with low liquidity. The best fitting curve is derived by minimizing the penalty function. The penalty is defined as a sum of squared price discrepancies (theoretical curve based price minus market closing price) weighted by trade volume and an additional penalty for non-smoothness of the yield curve. Findings - This method is applied to both nominal and CPI linked bonds traded in Israel (some segments of these markets have low liquidity). The resulting two yield curves are used for derivation of market expected inflation rate. Research limitations/implications - The main problems are low liquidity of some bonds and imperfect linkage to inflation in the CPI linked market. Practical implications - A stable numerical procedure applicable even in markets with low liquidity. Originality/value - Usage of forward curves as the state space for the minimization problem leads to a stable solution that fits the data very well and can be used for calculating forward rates.
机译：目的 - 这项研究的目的是开发和测试一种从政府债券市场价格中得出零收益曲线的数学方法。设计/方法/方法 - 该方法基于线性（或分段常数）样条近似的前向曲线，即使是流动性低的市场也应适用。通过最小化罚款函数来得出最佳的拟合曲线。罚款被定义为平方价格差异（基于理论曲线的价格减去市场关闭价格），并由贸易量加权，并对收益曲线的非平滑度进行额外罚款。调查结果 - 此方法适用于以色列交易的名义和CPI链接债券（这些市场的某些细分市场流动性低）。由此产生的两条屈服曲线用于推导市场预期通货膨胀率。研究局限性/含义 - 主要问题是某些债券的流动性低以及与CPI联系市场中通货膨胀的不完美联系。实际含义 - 即使在流动性低的市场中也适用于稳定的数值程序。原始性/价值 - 向前曲线作为最小化问题的状态空间的使用导致稳定的解决方案，该解决方案非常适合数据，可用于计算远期速率。

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