Macrofinance Model of the Czech Economy: Asset Allocation Perspective

March 1, 2012

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Macrofinance Model of the Czech Economy: Asset Allocation Perspective, (USA: International Monetary Fund, 2012) accessed September 19, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Financial institutions, Financial markets, Financial services, Industrial production, Inflation, Prices, Production, Sovereign bonds, Stock markets, Yield curve

Keywords: Fair value, Finance model, Global, Industrial production, Inflation, Inflation rate, Investment purpose, Macrofinance modeling, Slope factor, Sovereign bonds, Stock markets, Vector auto-regression model, WP, Yield change, Yield curve, Yield curve modeling

Publication Details

Pages:

49
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2012/078
Stock No:

WPIEA2012078
ISBN:

9781475502305
ISSN:

1018-5941

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