Detail publikace

Longer-term Yield Decomposition: The Analysis of the Czech Government Yield Curve

Autor: Mgr. Ing. Adam Kučera , Michal Dvořák, Luboš Komárek, Zlatuše Komárková
Typ: Ostatní
Rok: 2017
Číslo: 12
ISSN / ISBN:
Publikováno v: CNB Working Papers
Místo vydání:
Klíčová slova: affine model, decomposition, government bond, yield curve
JEL kódy: G11, G12, G23
Citace:
Abstrakt: The term structure of yields is an important source of information on market expectations about future macroeconomic developments and investors’ risk perceptions and preferences. This paper presents the methodology used by the Czech National Bank to obtain such information. It describes the decomposition of the Czech government bond yield curve into its components. The evolution of those components is interpreted in relation to the macro-financial environment, as embodied by selected variables. The practical use of the decomposition in estimating and interpreting the responses of the Czech government bond yield curve to macroeconomic and financial shocks is presented using a vector autoregression model.

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