Macrofinance Model of the Czech Economy : Asset Allocation Perspective

Author/Editor:

International Monetary Fund

Publication Date:

March 1, 2012

Electronic Access:

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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.

Series:

Working Paper No. 12/78

Subject:

Capital markets Czech Republic Economic models Financial assets Interest rate structures

English

Publication Date:

March 1, 2012

ISBN/ISSN:

9781475502305/1018-5941

Stock No:

WPIEA2012078

Format:

Paper

Pages:

49

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