DVOŘÁK, Michal, Zlatuše KOMÁRKOVÁ a Adam KUČERA. The Czech Government Yield Curve Decomposition at the Lower Bound. Finance a úvěr - Czech Journal of Economics and Finance. Praha: Charles University, Faculty of Social Sciences, 2019, roč. 69, č. 1, s. 2-36. ISSN 0015-1920. |
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@article{8203, author = {Dvořák, Michal and Komárková, Zlatuše and Kučera, Adam}, article_location = {Praha}, article_number = {1}, keywords = {decomposition; government bond; yield curve; affine model}, language = {eng}, issn = {0015-1920}, journal = {Finance a úvěr - Czech Journal of Economics and Finance}, title = {The Czech Government Yield Curve Decomposition at the Lower Bound}, url = {http://journal.fsv.cuni.cz/storage/1427_02_36_kucera_final_issue_1_2019_.pdf}, volume = {69}, year = {2019} }
TY - JOUR ID - 8203 AU - Dvořák, Michal - Komárková, Zlatuše - Kučera, Adam PY - 2019 TI - The Czech Government Yield Curve Decomposition at the Lower Bound JF - Finance a úvěr - Czech Journal of Economics and Finance VL - 69 IS - 1 SP - 2-36 EP - 2-36 PB - Charles University, Faculty of Social Sciences SN - 00151920 KW - decomposition KW - government bond KW - yield curve KW - affine model UR - http://journal.fsv.cuni.cz/storage/1427_02_36_kucera_final_issue_1_2019_.pdf L2 - http://journal.fsv.cuni.cz/storage/1427_02_36_kucera_final_issue_1_2019_.pdf N2 - 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 article presents the decomposition of the Czech government bond yield curve into its components using a shadow–rate affine term–structure model and interest rate 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. ER -
DVOŘÁK, Michal, Zlatuše KOMÁRKOVÁ a Adam KUČERA. The Czech Government Yield Curve Decomposition at the Lower Bound. \textit{Finance a úvěr - Czech Journal of Economics and Finance}. Praha: Charles University, Faculty of Social Sciences, 2019, roč.~69, č.~1, s.~2-36. ISSN~0015-1920.
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