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Structural Implications of Consol Rate on the Predicted Yield Curve

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dc.contributor.author Ogungbenle, Gbenga Michael
dc.contributor.author Adeyele, Joshua Solomon
dc.contributor.author Ogungbenle, Simeon Kayode
dc.date.accessioned 2020-12-28T05:36:19Z
dc.date.available 2020-12-28T05:36:19Z
dc.date.issued 2020-06-18
dc.identifier.issn 2664-3413
dc.identifier.issn 2664-3421
dc.identifier.uri http://dspace.daffodilvarsity.edu.bd:8080/handle/123456789/5389
dc.description.abstract This paper leans heavily on Nelson Siegel tested on Nigerian Euro-bond. The objectives of this paper are to obtain the model for (r) the forward rate and spot rate function (it) compute the console rate and (iii) investigate the rationale behind the parallel shift on the predicted yield curve. We selected data at 12 different points from the daily closing of the Nigerian Eurobond from January to December 2018 to fit the Nigerian Eurobond yield curve using the Nelson Siegel model. In order to facilitate a deeper understanding of the term structure approximation model of Nigerian Euro-bond from first principles, our initial data was re-run to permit further interpretation on the estimation and our results show that the variation caused by consol is responsible for the parallel shift on the predicted yield curve indicating that the value of the predicted Eurobond moves up or down in the same direction corresponding to the same degree of the corresponding change in the consol rate. Furthermore, based on the upward sloping behavior of the yield curve, the Nigerian economy is expanding and consequently, long-term investments will tend to be very risky. en_US
dc.language.iso en_US en_US
dc.publisher Daffodil International University en_US
dc.subject Economic Development en_US
dc.subject Yield-line Analysis en_US
dc.title Structural Implications of Consol Rate on the Predicted Yield Curve en_US
dc.type Article en_US

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