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

Adam Kučera, Michal Dvorak, Lubos Komarek () and Zlatuse Komarkova ()

Working Papers from Czech National Bank

Abstract: 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.

Keywords: Affine model; decomposition; government bond; yield curve (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2017_12.pdf

Related works:
Journal Article: The Czech Government Yield Curve Decomposition at the Lower Bound (2019) Downloads
Chapter: Decomposition of the Czech government bond yield curve (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2017/12

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