Macrofinance Model of the Czech Economy [electronic resource] : Asset Allocation Perspective.

By: International Monetary FundMaterial type: TextTextSeries: IMF Working Papers; Working Paper ; No. 12/78Publication details: Washington, D.C. : International Monetary Fund, 2012Description: 1 online resource (49 p.)ISBN: 1475502303 :ISSN: 1018-5941Subject(s): Bond Yield | Bond Yields | Bond | Correlation | Econometric Modeling: General | Government Bond | Czech RepublicAdditional physical formats: Print Version:: Macrofinance Model of the Czech Economy : Asset Allocation PerspectiveOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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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.

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