The Impact of the Regime-Shift Premium on Forward Interest Rates and Inflation Expectations in the Czech Republic (in Czech)

Tomáš Holinka and Vladimír Stiller

Czech Journal of Economics and Finance (Finance a uver), 2004, vol. 54, issue 5-6, 190-201

Abstract: The article analyzes the factors leading to the fall of forward interest rates in the Czech Republic between 1999 and 2003. A key point in this regard is the existence of a term and a regime-shift premium associated with the country’s anticipated entry into the eurozone. The paper suggests that the shift into a credible low inflation regime, accompanied by a decreased regime-shift premium, may have affected Czech forward rates. Inflation expectations are subject to regime shifts and cyclical economic development, and to expectations of lower central-bank inflation targets.

Keywords: regime shift; term premium; credibility; inflation expectation; FRA (search for similar items in EconPapers)
JEL-codes: E42 E43 O23 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:54:y:2004:i:5-6:p:190-201

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