Politická ekonomie 2007, 55(6):809-828 | DOI: 10.18267/j.polek.625

Vliv zveřejněných informací na výnosovou křivku

Vladimír Pikora
Next Finance, Praha.

The impact of fresh releases on the yield curve

The paper deals with the impact of new information on the fixed income market. We expect this to be the first study covering such a topic in Central European markets. We prepared a model of a market reaction and found out that the market is not significantly driven by new macroeconomic figures. The sharpest moves have never been caused by a new number, but developments abroad and unexpected statements of central bankers. Scheduled central bank decisions on the interest rates did not affect yields as much as these two factors. The main message of this text for short term investors is, that in contrast to the USA, it is better for them to follow trading abroad than the Czech fundamentals.

Keywords: central bank, yield curve, information release, market reaction, analysts, expectations
JEL classification: E43, E44, G14

Published: December 1, 2007  Show citation

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Pikora, V. (2007). The impact of fresh releases on the yield curve. Politická ekonomie, 55(6), 809-828. doi: 10.18267/j.polek.625
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