Výnosová křivka v teorii a v praxi českého mezibankovního trhu
| dc.contributor.author | Kotlán, Viktor | |
| dc.date.accessioned | 2007-08-13T11:44:01Z | |
| dc.date.available | 2007-08-13T11:44:01Z | |
| dc.date.issued | 1999 | |
| dc.description.abstract-en | The paper presents the theoretical background of the yield curve and tests the expectations hypothesis in the Czech interbank market. The first section concentrates on the main theories explaining the behavior of the yield curve; traditional as well as some new approaches (general equilibrium and multi-factor models) are discussed. The second section offers an empirical analysis of the expectations hypothesis using OLS and GLS regressions and cointegration tests. The relationship between rates on FRAs (Forward Rate Agreements) and implicit forward rates is also explored. The last section summarizes the results. The author finds that the spot yield curve contains significant information about future interest rates. The results show that the expectations hypothesis in its pure form is valid for some maturities, though not for all. The findings should, however, be treated with caution, since relatively short time series (76 observations) of average monthly interest rates are used. The author further finds that even though the market participants employ the implicit forward rates in forming their interest rates forecasts, the expectations hypothesis in its pure form was, on average, more successful in predicting future interest rates than were the market participants' forecasts measured by FRA rates. | en |
| dc.identifier.citation | Finance a úvěr. 1999, roč. 49, č. 7, s. 407-426. | en |
| dc.identifier.issn | 0015-1920 | |
| dc.identifier.location | Ve fondu ÚK | en |
| dc.identifier.uri | http://hdl.handle.net/10084/61784 | |
| dc.identifier.wos | 000084028600002 | |
| dc.language.iso | cs | en |
| dc.publisher | Univerzita Karlova. Fakulta sociálních věd | en |
| dc.relation.ispartofseries | Finance a úvěr | en |
| dc.subject | výnosová křivka | en |
| dc.subject | implicitní forwardové sazby | en |
| dc.subject | teorie očekávání | en |
| dc.subject | FRA | en |
| dc.subject | yield curve | en |
| dc.subject | implicit forward rates | en |
| dc.subject | expectations hypothesis | en |
| dc.title | Výnosová křivka v teorii a v praxi českého mezibankovního trhu | en |
| dc.title.alternative | The yield curve in theory and in practice of the Czech interbank market | en |
| dc.type | article | en |