UID:
edoccha_9958091103602883
Format:
1 online resource (51 p.)
ISBN:
1-4755-6344-2
,
1-4755-9165-9
Series Statement:
IMF Working Papers
Content:
The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This persistence of the misalignments was explained by (a) the fact that the macro-economy influences asset markets only at lower frequencies, (b) the liquidity effect particularly during the times of capital inflows to Czech Republic, and (c) the fact that not all misalignments were greater than their historical one standard deviation.
Note:
Description based upon print version of record.
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Cover; Contents; I. Introduction; II. Macrofinance Modeling; III. Macrofinance model based on Nelson-Siegel framework; Dynamic Nelson-Siegel Interpretation; Data Used in the Model; Figures; Figure 1: Czech Government Zero-Coupon Bond Yields (Spot Rates); Tables; Table 1: Descriptive Statistics of Czech Government Zero-Coupon Bond Yields; Figure 2: Average Czech Yield Curve; Principal Components Analysis of the Czech Zero-Coupon Yields; Table 2: Principal Components Analysis of Czech Government Bond Yields; Figure 3: Factor Loadings of the Principal Components across Maturities
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Figure 4: First Principal Component and its Empirical and Macro ProxiesFigure 5: Second Principal Component and its Empirical and Macro Proxies; From a Yields-Only Nelson-Siegel Model to a VAR Macrofinance Nelson-Siegel Model of the Czech Economy; Figure 6: Third Principal Component and its Empirical and Macro Proxies; Table 3: Descriptive Statistics of the Nelson-Siegel Factors from the Yields-Only Model of the Term Structure of Interest Rates; Figure 7: Yields-Only Model - Level Factor and its Empirical and Macro-Economic Proxies
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Figure 8: Yields-Only Model - Slope Factor and its Empirical ProxyFigure 9: Yields-Only Model - Slope Factor and its Macro-Economic Proxy; Figure 10: Yields-Only Model - Curvature Factor and its Empirical Proxy; Table 4: VAR(1) Estimation Output - Nelson-Siegel Macrofinance Model; A Note on Diagnostic Tests; Impulse Responses and Variance Decomposition; Figure 11: Impulse Responses from the Macrofinance Model; Table 5: Variance Decomposition - Yield Curve Factors; Table 6: Variance Decomposition - Macroeconomic Variables
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IV. Making the Macrofinance Model Operational for Asset-Allocation PurposesFigure 12: Czech Zero-Coupon Bond Yields and Their Fair Values at Different Maturities; Identifying Misalignments and Timing Subsequent Yield Movements; Figure 13: Czech Yield-Curve Spreads, Butterflies and Their Fair Values; Figure 14: Implied vs. Realized Yield Change over 3 Months; Figure 15: Implied vs. Realized Yield Change over 6 Months; Figure 16: Implied vs. Realized Yield Change over 9 Months
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Table 7: Evaluating the Czech Macro-Implied Yield Curve's Ability to Predict Actual Bond Yield Changes, 2000-2010 (Absolute Changes in Yields in Percentage Points)Table 8: Correlation between Macro-Implied and Subsequent Realized Butterfly Changes; Figure 17: Bond Yield Misalignments and Changes in Bond Yields over Six Months Lagged Six Months; Does Macro Make Sense, and If Yes, Why and to What Extent?; Table 9: Example of Yield Curve Misalignment and Subsequent Yield Curve Change; Figure 18: An Example of Yield Curve Misalignment and its Subsequent Corrections
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Table 10: The Out-of-Sample Forecasting Performance of the Macrofinance Model versus Yields-Only Model
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English
Additional Edition:
ISBN 1-4755-0768-2
Additional Edition:
ISBN 1-4755-0230-3
Language:
English
