Series: IMF Working Papers
Author(s): International Monetary Fund
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2012
Keywords: yield curve modeling, macrofinance modeling, vector auto-regression model, bond, bond yield, government bond, bond yields, correlation, Econometric Modeling: General,
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...