Work detail

Yield curve dynamics: Co-movements of latent global and Czech yield curves

Author: Mgr. Jaromír Šimáně
Year: 2018 - winter
Leaders:
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 78
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/185537/
Abstract: This thesis focus on a yield curve modelling. It estimates unobserved “global” yield curve
factors which drives changes in individual real yield curves. Yield curves of USD, GBP, JPY
and EUR are considered and global factors are able to explain substantial part of their variances.
The method is built on the Nelson-Siegel model which is implemented in a state-space form to
be able to extract the unobserved yield factors. The estimated global yield factors are further
used for explaining the evolution of the Czech yield curve. Their impact to the Czech yield
curve is estimated in a time-varying regression which results show that the impact of the global
factors is stronger during the years of the interventions of the Czech National Bank and thus
suggests that the interventions help to transmit the global low interest rates to the Czech
economy.

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