The Czech Government Yield Curve Decomposition at the Lower Bound

• Published in: Finance a úvěr Vol. 69; no. 1; pp. 2 - 36
• Main Authors: Kučera, Adam, Dvořák, Michal, Komárková, Zlatuše
• Format: Journal Article
• Language: English
• Published: Prague Charles University, Faculty of Social Sciences 01.01.2019
• Subjects: Asymmetry; Central banks; Credit risk; Decomposition; Economic models; Federal funds rate; Federal Reserve monetary policy; Government bonds; Greenspan, Alan; Hypotheses; Interest rates; International finance; Macroeconomics; Regression analysis; Risk premiums; Yield; Yield curve

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 decomposition of the Czech government bond yield curve into its components using a shadow-...