Keywords: government policy, government securities, market efficiency, Nelson-Siegel, Slovenia, sustainable economy, debt market, monetary policy
On the efficiency of Slovenian government debt market: empirical analysis with Nelson-Siegel model
Government securities market is traditionally one of the most efficient segments of financial market with a broader meaning for the national economy. It is used by a variety of market participants including for conducting monetary policy. In order to play this crucial role, the government securities market needs to be efficient. The main idea of the current article is to find whether secondary market for government securities in Slovenia is efficient. We found that introduction of secondary market led to an efficient market. However, some changes in government policy announced in mid-2006 caused fall in its efficiency.