Term Structure of Interest Rates in Poland – Estimation and Identification of the Factors Determining its Shape

Agnieszka Kiedrowska

doi:https://doi.org/10.59139/ps.2013.01.2

Agnieszka Kiedrowska Uniwersytet Ekonomiczny w Poznaniu Przegląd Statystyczny. Statistical Review, vol. 60, 2013, 1, pages: 21-38 Published online: 31 March 2013 DOI https://doi.org/10.59139/ps.2013.01.2

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ARTICLE

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ABSTRACT

The aim of the article was to estimate the term structure of interest rates in Poland, as well as to identify factors affecting its shape, which is essential in effective interest rate risk management. The approximation of the yield curve presented in the article shows a significant segmentation of the debt securities market into markets of short-term and long-term instruments. The principal component analysis of the term structure of interest rates made it possible to separate out risk factors. The results obtained indicate that the volatility of the term structure of interest rates in Poland can be explained by only three principal components related to the level, the steepness and the curvature of the yield curve, which values confirm the observed market segmentation.

KEYWORDS

interest rate, term structure of interest rates, yield curve, cubic splines, principal component analysis

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