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Macrofinance Model of the Czech Economy: Asset Allocation Perspective

Macrofinance Model of the Czech Economy: Asset Allocation Perspective by International Monetary Fund
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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.
International Monetary Fund; March 2012
49 pages; ISBN 9781475591651
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Title: Macrofinance Model of the Czech Economy: Asset Allocation Perspective
Author: International Monetary Fund
 
ISBNs
1475591659
9781475502305
9781475507683
9781475591651