文章基本信息

标题：The application of different term-structure models to estimate South African real spot rate curve
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作者：Mmakganya Mashoene ; Mishelle Doorasamy ; Rajendra Rajaram 等
期刊名称：International Journal of Finance & Banking Studies
印刷版ISSN：2147-4486
出版年度：2021
卷号：10
期号：3
页码：21-36
DOI：10.20525/ijfbs.v10i3.1278
语种：English
出版社：Society for the Study of Business & Finance
摘要：The purpose of this study is to investigate the suitable arbitrage-free term-structure model that might be able to fit the South African inflation-indexed spot-rate curve. The instrument has relatively less tradability in the market, which then translates into a lack of adequate data for bond valuation/pricing. Pricing deviations might give inflated/deflated projections on the value of government debt; consequently, higher estimated interest cost to be paid. A proper valuation of these instruments is mandatory as they form part of government funding/borrowing and the country’s budgeting processes in the medium term. The performance of newly developed non-linear multifactor models that follows the Nelson-Siegel (1987) framework was compared to the arbitrage-free Vasicek (1977) model and linear parametric models to assess any significant deviations in forecasting the real spot-rate curve over a short period. Models with constant parameters (i.e. linear parametric, cubic splines, Nelson-Siegel (1987) and Svensson (1994)) gave a perfect fit, they proved to marginally lose fitting capabilities during periods of higher volatility. Therefore, it could be concluded that the application of either Nelson-Siegel (1987) model or Svensson (1994) model on forecasting South African real spot-rate curve gave a perfect fit. However, for a solid conclusion to be derived, it is imperative to explore the performance of these models over a period of stressed market and economic conditions.
关键词：South African inflation-indexed bonds;Parametric yield curve models;Arbitrage-free generalised Nelson Siegel model;Illiquid bond markets;Rotated Dynamic Nelson-Siegel model;Arbitrage-free Vasicek model