文章基本信息

标题：CREATION AND USE OF THE YIELD CURVE ON THE BANJA LUKA STOCK EXCHANGE
其他标题：KREIRANJE I UPOTREBA KRIVE PRINOSA NA BANJALUČKOJ BERZI HARTIJA OD VRIJEDNOSTI
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作者：Miloš Grujić ; Bojan Baškot
期刊名称：Časopis za Ekonomiju i Tržišne Komunikacije
印刷版ISSN：2232-8823
电子版ISSN：2232-9633
出版年度：2020
卷号：20
期号：2
页码：452-473
DOI：10.7251/EMC2002452G
语种：English
出版社：Paneuropean University Apeiron
摘要：There has been a lot of talks lately about falling interest rates in all markets. Te decline in interest rates is also evident in the domestic market. Such information and trends increase caution, especially in the corporate sector, which is not conducive to economic optimism. In support of the black premonitions that have been pointed out recently, the paper also highlights the appearance of “inverse” yield curves on the Banja Luka Stock Exchange. Te yield curve represents the relationship between the interest rate (or loan cost) and the time to maturity of a given borrower in a given currency. By defnition, there is no single yield curve that describes fnancing costs for all market participants. Tere are conventions that everyone adheres to when it comes to choosing instruments and general design principles. Te interpretation of the yield curve is very complex because the yield curve takes into account investors’ expectations in terms of interest rates, but also inﬂ ation and political cycles because it is reﬂ ected as a risk premium for long-term investments. However, the details of the design methodology are characteristic of diﬀerent institutional investors. Te paper describes the methodology for constructing the yield curve of the Republic of Srpska. Te range and limitations of using such a yield curve are then stated are also described. Te subject of this paper is to create the yield curve in a domestic market and to analyze data from such views. Te aim of the paper is to scientifcally explain and describe the process of creating a curve for the yield of debt securities issued by the government and to analyze and interpret the data from that curve. Te research question is: “Can the yield curve on the Banja Luka Stock Exchange be used behind the presentation of the yield on debt securities over the last decade?” Tus, the paper demonstrates the scope and limitations of this model while respecting the standards and specifcs of business in the emerging market. Te conclusion is that the yield curve on the Banja Luka Stock Exchange is a theoretical construction rather than an empirically verifed fact, in contrast to the yield curve from developed markets, but that it can be used to represent the yield on debt securities and, indirectly, as an auxiliary tool in making investment decisi ons. Also, the yield curve of debt securities of the Republic of Srpska is a theoretical concept, but it is also noticeable in practice. Moreover, it is a desirable tool for both academia and practitioners and the general public.
其他摘要：Kriva prinosa dužničkih hartija od vrijednosti predstavlja odnos između kamatne stope i vremena dospijeća duga za određenog dužnika u određenoj valuti. Po defi niciji, ne postoji univerzalna kriva prinosa za dužničke hartije od vrijednosti koja odražava troškove fi nansiranja za sve učesnike na tržištu. Postoje konvencije kojih se teoretičati i praktičari pridržavaju kada je u pitanju izbor instrumenata i načela konstrukcije. Ipak, detalji metodologije konstruisanja katakteristični su za različite institucionalne investitore. U radu se opisuju metodologija konstruisanja dužničkih hartija od vrijednosti te dometi i ograničenja upotrebe krive prinosa. Predmet rada odnosi se na identifi kovanje i kreiranje praćenje krive prinosa na tžištima u razvoju, te analize podataka iz takvih prikaza. Cilj rada jeste naučno objašnjenje i deskripcija procesa stvaranja krive prinos dužničkih hartija od vrijednosti koje emituje država te analize i tumačenja podataka iz te krive. Zaključak je da postoje razlilčiti modeli i slabe tačke tog procesa, uvažavajući standarde i specifi čnosti poslovanja na tržištima u razvoju. Takođe, kriva prinosa dužničkih hartija od vrijednosti Republike Srpske jeste teorijski koncept ali ima primejtnu i u praksi. Štaviše, poželjan je instrument kako za akademsku zajednicu i praktičare tako i za širu javnost.
关键词：Svensson model;yields;debt securities
其他关键词：Svenssonov model;prinosi;dužničke hartije od vrijednosti