Decomposition of the Czech government bond yield curve

Adam Kučera, Michal Dvorak and Zlatuse Komarkova ()

Chapter Thematic Article 3 in CNB Financial Stability Report 2016/2017, 2017, pp 125-134 from Czech National Bank, Research and Statistics Department

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.

Date: 2017
ISBN: 978-80-87225-72-1
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Related works:
Journal Article: The Czech Government Yield Curve Decomposition at the Lower Bound (2019)
Working Paper: Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:ocpubc:fsr1617/3

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