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Bond yield curves construction and their use
TRÁVNÍČKOVÁ, Eva
The bachelor thesis "Bond yield curves and their use" deals with the issue of yield curves. It defines bonds, their risks and yield. The main topic of the bachelor thesis is the theory of yield curve and their construction. Work with regard to the definition of yield curves, shape and theoretical approaches explaining its curvature. The findings are applied to the computational structure of several yield curves of the Czech Republic's government bonds at a certain time horizon and a comparison with the yield curves of selected states.
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Co-jumping of yield curve
Fišer, Pavel ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
The main focus of the thesis is on jumps and co-jumps and their influence on the term structure of the U.S. Treasury bond futures contracts. Using high frequency data I am able to quantify to which extent co-jumps affect the correlation between bond futures pairs with different maturities which is not common in the literature. In order to separate the price process into continuous and discontinuous components represented by jumps and to pre- cisely localize significant co-jumps a new wavelet-based estimator is used for the analyses. Furthermore, I am studying the co-jump behavior in response to scheduled macroeconomic news announcements. Empirical findings re- veal strong influence of co-jumps to the correlation structure of bond futures across all maturity pairs as well as a significant link between Federal Open Market Committee news announcements and higher probability of co-jump occurrence.
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Rare Disasters and Asset Pricing Puzzles
Kotek, Martin ; Maršál, Aleš (advisor) ; Korbel, Václav (referee)
The impact of rare disasters on equity premium and term premium in a New Keynesian DSGE model is explored in the thesis. Andreasen's (2012) model with Epstein-Zin preferences, bonds and a rare disaster shock in total factor productivity process is extended by a variable capital stock and an equity-type asset. We find that the variable capital significantly changes behavior of the model, capital depreciation must be substantially increased to counter the effect of variable capital and stochastic mean of inflation increases. The model calibrated to the US economy and a high risk aversion generates 10-year term premium of 90 basis points, rare disasters increase the premium only by 3 basis points. The equity premium is 163 basis points and rare disasters increase it also only by 3 basis points. The model with a low coefficient of relative risk aversion of 5.5 generates negative risk premia. Rare disasters increase the risk premia by mere 4 basis points in comparison to a model with i.i.d. shocks. Powered by TCPDF (www.tcpdf.org)
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Interest Rate Risk Analysis by Principal Component Method
Myšičková, Ivana ; Houfková, Lucia (advisor) ; Prášková, Zuzana (referee)
Presented study analyzes interest rate risk associated with the possession of given fixed coupon bond. In the first chapter, we define some of the basic concepts and provide description of available data. These are historical data on spot interest rates of zero-coupon bonds for various times to maturity which will be used for the construction of the yield curves. Based on these bond yield curves we evaluate the bond, thus obtaining a picture of the evolution of its price. Later on, we try to estimate its price tomorrow. We present two approaches how to deal with this problem. First approach is the normal interest rate risk analysis based on duration and convexity, second approach is the method of principal components which will be applied to the historical daily changes in yield curves. The method of principal components is introduced in detail.
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Konstrukce výnosové křivky
Antas, Vilém ; Stádník, Bohumil (advisor) ; Teplý, Petr (referee)
The goal of this thesis is to analyze the mathematical apparatus of the most widespread methods used for the yield curves construction. It aims to introduce not only the various of construction models but also to describe the whole process of creation, while discussing the advantages and disadvantage of individual methods. The first chapter focus on the general theory and the use of the term structure of interest rates in practice. The second part deals with the construction process itself and describes the most frequently used methods. The last chapter then shows the real application of selected methods on given data set and the use of the constructed yield curves for interest rate derivative valuation too.
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Maturity mismatching and its impact on the yield curve
Němec, Petr ; Potužák, Pavel (advisor) ; Janíčko, Martin (referee)
This diploma thesis deals with a new discord in the Austrian economic theory about the effects of maturity mismatching practiced by banks on the shape of the yield curve and defines the not yet established concept of the natural yield curve. The conflicting contributions of Austrian authors are compared for that purpose. Based on this comparison, a coherent theory of the effects of maturity mismatching is presented in a framework of the loanable funds market. A definition of the natural yield curve is then produced by a synthesis of the above-mentioned findings and the Austrian theory of the natural rate of interest. Theoretical research leads to the conclusion that one form of maturity mismatching inevitably results in an Austrian business cycle. The empirical section examines the question of yield curve´s behavior under the influence of maturity mismatching. An explanation concerning the selected hypotheses and their lack of confirmation is given.
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Monetary Transmission: Are Emerging Market and Low-Income Countries Different?
Bulíř, Aleš ; Vlček, Jan
We use two representations of the yield curve, by Litterman and Scheinkman (1991) and by Diebold and Li (2006), to test the functioning of the interest rate transmission mechanism along the yield curve based on government paper in a sample of emerging market and low-income countries. We find a robust link from short-term policy and interbank rates to longer-term bond yields. Two policy implications emerge. First, the presence of well-developed secondary financial markets does not seem to affect transmission of short term rates along the yield curve. Second, the strength of the transmission mechanism seems to be affected by the choice of monetary regime: advanced countries with a credible IT regime seem to have “better behaved” yield curves than those with other monetary regimes.
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Vliv fiskální politiky na výnosovou křivku
Vránová, Veronika ; Maršál, Aleš (advisor) ; Potužák, Pavel (referee)
The thesis analyzed the impacts of fiscal developments on the yield curve using quarterly data on the Czech economy over the period 2000:1 -- 2012:4. This thesis thoroughly reviewed the previous theoretical and empirical literature in order to sort out the rather inconclusive results of previous studies according to their main findings and implemented methodology. The empirical part consists of the estimation of the effects of budget deficits and government debt on the spread between the three-month and five-year interest rates, which closely reflects the effects of fiscal policy on the yield curve. The reduced-form equation was estimated by OLS. Since the estimated coefficients were not statistically significantly different from zero, this thesis did not confirm the conventional macroeconomic view of positive impacts on yields.
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Analysis of methods for constructing yield curves
Matějka, Martin ; Janeček, Martin (advisor) ; Sitař, Milan (referee)
The thesis is focused on finding the most appropriate method for constructing the yield curve which will meet the criteria of Solvency II and also the selected evaluation criteria. An overview of advantages of each method is obtained by comparing these methods. Yield curves are constructed using the Czech interest rate swap data from 2007 to 2013. The selection of the evaluated methods respects their public availability and their practical application in life insurance or central banks. This thesis is divided into two parts. The first part describes the theoretical background which is necessary to understand the examined issues. In the second part the analysis of selected methods was carried out with detailed evaluation.
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The Austrian business cycle theory: empirical evidence
Komrska, Martin ; Potužák, Pavel (advisor) ; Zemplinerová, Alena (referee)
The aim of this diploma thesis is to empirically investigate the explanatory power of Austrian business cycle theory. My dataset consists of US quarterly time series within the period between 1971 and 2009. As regards the NBER classification, this dataset covers six complete business cycles, including the recent global financial crisis. Following Wainhouse (1984), Keeler (2001) and Bjerkenes et al. (2010) I use Granger causality as one of the primary tools of the analysis. Moreover I also add Impulse response functions to discover the direction of observed relationships. As regards my primary group of hypotheses I found significant empirical evidence for the connection between changes in interest rate and structure of production. The secondary group of hypotheses is less successful; however I found the very first empirical illustration of Garrison's version of ABCT.
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