Olesea Speian, Victoria Ganea and Constantinos Kyriakopoulos

Correspondence: Constantinos Kyriakopoulos, k_kiriak@otenet.gr

Department of Mathematics, National and Capodidtrian University of Athens, Greece and EU finance expert

pdf (825.24 Kb) | doi: https://doi.org/10.47260/bae/919

Abstract

In this note we apply the Nelson Siegel model on the Moldovan Government Securities market. In the Republic of Moldova although remarkable progress for the construction of a medium yield curve has been made during the last five years, the market still lacks the liquidity and depth level that would allow the application of market-based models for the credible description of the yields. Similar to countries with comparable stage of capital market development, the application of the Nelson Siegel model will provide a credible guidance for yields for tenors that either are not traded in the secondary market or even if they are traded the volume is so small that there is no a credible price and yield discovery mechanism.

Keywords:

  yield curve, bond market, liquidity level, Nelson – Siegel method

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