The Czech National Bank Communication and the Yield Curve
|Author:||Mgr. Pavel Karas|
|Year:||2013 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis analyzes the effect of the Czech National Bank's (CNB) communication
on the interest rate volatility (PRJBOR reference rate). Starting with the
literature survey about the central bank communication in the world, I focus on
the literature that concerns the CNB. To model the CNB's communication, I
use the GARCH(l,1), EGARCH(l,1) and TARCH(l,1) models. I have created
a unique data set containing the dummy variables for the CNB communication.
The results are as follows: (a) the CNB's communication tends to decrease the
volatility, (b) timing of the communication has a key role as the comments
closer to the meeting have bigger calming effect, and that (c) there is no clear
effect concerning the comments of the Bank Board members in the media.