MAKRO-FINANČNÍ MODELOVÁNÍ VÝNOSOVÉ KŘIVKY - APLIKACE NA ČESKÁ DATA

This doctoral thesis devotes itself to macro-finance models of the Czech yield curve that enable the modeling of the yield curve as a whole and belong to the group of multi-factors models. These factors are unobservable or latent variables, and are intuitively called level, slope and curvature. Macro-finance models not only fit the yield curve through the use of latent factors, but they also try to provide a macroeconomic interpretation. The macro part of the model uses a type of VAR model, where the macroeconomic variables are endogenous or exogenous, or some macroeconomic model based on e.g. a New Keynesian economy. Such a type of models can answer (1) how the macroeconomic variables affect the yield curve, and, on the other hand, (2) how these macroeconomic variables are affected by the yield curve. The EUR/CZK exchange rate and the external environment play an important role in the Czech small open economy (in particular, developments in the eurozone and the impact of global investors' sentiment toward risky assets). Thus, we should take this into consideration when applying to Czech data. It has been shown that temporary macroeconomic and financial shocks (to inflation, output gap, EUR/CZK exchange rate, external demand, etc.) strongly affect the short end of the yield curve; however, longer spot rates react only marginally. The longer end of the curve may move more significantly in the case of a longer duration of the above-mentioned shocks (thus affecting inflationary expectations) or in the case of shocks to the inflation target and real equilibrium interest rates.