| Summary: | Yield curve modelling is an essential task for the governance of the modern economy
and in particular for financial market participants, and hence it is an extensively
researched topic. This paper presents yield curve modelling using the Nelson-Siegel
approach for Poland, which was recently recognised as a developed country. Yield
curve studies available for Poland are quite scarce and were conducted when Poland
was still classified as a developing country. Therefore, it is worthwhile to examine
the yield curve construction after three decades of economic transition. This
study offers a model which, with certain assumptions, derives zero-coupon yield
curves from the market prices of Treasury bonds. The simplifying assumptions
reduce model development time, while delivering yield curves of higher accuracy
than those commercially available.
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