ZERO-COUPON YIELD CURVE FOR NIGERIAN BOND MARKET
Journal Title: Topics in Economics, Business and Management (EBM) - Year 2018, Vol 2, Issue 1
Abstract
The Nigerian bond market has developed to become one of the most liquid in Africa. However, to the best of our knowledge, the Nigerian bond market does not currently have zero-coupon yield curve; what is available is the yield-to-maturity yield curve. This paper seeks to model zero-coupon yield curve for the Nigerian secondary bond market, using piecewise cubic hermite interpolation. It also compares the existing yield curve with the zero-coupon yield curve to analyze the possible effects of relying on only the existing yield curve for financial market decisions. Data is obtained from the FMDQ OTC. The results show that the yield-to-maturity curve used by the Nigerian bond market generally appears flatter and more linear, relative to the modeled zero-coupon yield curve. We believe that adopting the zero-coupon yield curve in addition to the yield-to-maturity curve would add more reliability and accuracy for pricing decisions and monetary policy functions
Authors and Affiliations
Victor Curtis Lartey, Yao Li
Keywords
Related Articles
- EP ID EP411983
- DOI 10.26480/icefs.01.2018.76.78
- Views 73
- Downloads 0
RESEARCH ON CUSTOMER EXPERIENCE MANAGEMENT AND ITS IMPLEMENTATION FRAMEWORK
Customer Experience Management (CEM) is a new theory about customer relationship after customer satisfaction theory, aiming to provide personalized experience to customers, promote customer satisfaction level and bring p...
INNOVATION OF THE ECONOMIES OF EUROPEAN UNION COUNTRIES AGAINST SELECTED COUNTRIES IN THE WORLD IN THE YEARS 2007-2016
Innovation is of great importance in the economy today. The competitiveness of economies depends on the skillful implementation of innovation. The aim of the article was to assess the innovative position and ability to i...
DO MANAGERS NEED TO DISTINGUISH THE SURFACE ALTRUISTIC BEHAVIOR
Good political skills can help subordinates disguise their ingratiation as organizational citizenship behavior. Few studies has told us what measures should be taken when the managers can’t tell the difference between or...
ANALYSING DIFFERENT FREQUENCIES OF BITCOIN TIMESERIES
At least since the first Bitcoin futures were launched in December 2017, quantitative risk management on Bitcoin is no longer indispensable. This paper provides methodology and fundamental findings on approximations of i...
ANALYZING CHINA’S REAL ESTATE BUBBLE
This paper is focusing on the topic of the bubble inside of China’s Real Estate market. China’s Real Estate market has been developed rapidly from the past forty years. In order to figure out whether there is a bubble in...