Detail publikace

The Czech Government Yield Curve Decomposition at the Lower Bound

Autor: Mgr. Ing. Adam Kučera , Dvořák, Michal, Komárková, Zlatuše
Typ: Články v impaktovaných časopisech
Rok: 2019
Číslo: 1
ISSN / ISBN: 00151920
Publikováno v: Czech Journal of Economics and Finance
Místo vydání: Prague
Klíčová slova: Decomposition, Government Bond, Yield Curve, Affine Model
JEL kódy: G11, G12, G23
Citace: Kučera, A., Dvořák, M., Komárková, Z. (2019): The Czech Government Yield Curve Decomposition at the Lower Bound. Czech Journal of Economics and Finance, 69(1):2-36.
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. The article presents the decomposition of the Czech government bond yield curve into its components using shadow–rate affine term–structure model and credit default swap quotations. The evolution of the components is interpreted in relation to the macro–financial environment embodied by selected variables. The practical use of the decomposition in estimating and interpreting responses of the Czech government bond yield curve to macroeconomic and financial shock is presented using a vector autoregression model. Finally, the results are evaluated in terms of the lower bound proximity.

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