Format:
Online-Ressource (49 p)
Edition:
Online-Ausg.
ISBN:
1475502303
,
9781475502305
Series Statement:
IMF Working Papers Working Paper No. 12/78
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
Additional Edition:
Erscheint auch als Druck-Ausgabe Macrofinance Model of the Czech Economy: Asset Allocation Perspective Washington, D.C. : International Monetary Fund, 2012 ISBN 9781475502305
Language:
English
DOI:
10.5089/9781475502305.001
