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Decomposition of the Czech government bond yield curve

In: CNB Financial Stability Report 2016/2017

Author

Listed:
  • Adam Kucera
  • Michal Dvorak
  • Zlatuse Komarkova

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 article presents the methodology used by the CNB 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. The practical use of the method in the financial sector stress tests conducted by the CNB is then presented.

Suggested Citation

  • Adam Kucera & Michal Dvorak & Zlatuse Komarkova, 2017. "Decomposition of the Czech government bond yield curve," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2016/2017, chapter 0, pages 125-134, Czech National Bank, Research and Statistics Department.
    • Handle: RePEc:cnb:ocpubc:fsr1617/3
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    References listed on IDEAS

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    Cited by:

    1. Michal Dvorák & Zlatuše Komárková & Adam Kucera, 2019. "The Czech Government Yield Curve Decomposition at the Lower Bound," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(1), pages 2-36, February.
    2. Martina Makarieva, 2021. "Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 61-83,84-10.
    3. Marcin Dec, 2021. "Parsimonious yield curve modeling in less liquid markets," GRAPE Working Papers 52, GRAPE Group for Research in Applied Economics.

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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