Modelling and forecasting bond yields is a very important aspect in investment planning and making sound choices on different financing sources. In this paper we use time series of corporate and government bond yields in order to separate and study the impact of short- and long-term factors. Based on Nelson-Siegel ( [1]) and Svensson ( [2]) models, we analyse the dynamics of parameter estimates and use the results to explain market participants expectations. Unlike other studies, that aim at providing better estimates of the yield curve at specific moment in time, our major goal is to draw conclusions on the changes in the model estimates over time, as a proxy for different factors influencing bond yields.

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