03468ntm a22004937a 4500 000224851 CZ-PrVSE 20120918200228.0 m d cr n|||||||||| 120918s2012 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Pohl, Martin ISIS:4210 dis Česká swapová křivka, ekonomické fundamenty a finanční trhy eng Czech Swap Curve, Economic Fundamentals and Financial Markets [elektronický zdroj] / Martin Pohl 2012 ?? s. : digital, PDF soubor Vedoucí práce: Jiří Málek Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2012 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2012 We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output gap and inflation. Level reflects mainly inflation expectations and its sensitivity to output gap is small. Slope parameter is highly sensitive to business cycle fluctuations and inflation deviation from CNB's target. Domestic monetary policy remains an important determinant of swap curve parameters with gradual market reaction. Czech swap rates are closely connected to Euro swap rates. We found level factors to be cointegrated and also slope and curvature exhibit strong sensitivity to Euro rates. Financial variables don't seem to have large impact on swap rates with the exemption of global equity markets, where we found positive correlation between level and SP500 returns. In contrast, Czech government bonds have many features historically connected to corporate bonds such as positive correlation with risky assets and business cycle fluctuations. Government bonds also showed large volatility and rising risk premia in the 2008/2009 financial crisis. Finally, we estimated forward premium and we found large and rising premium and limited support for expectation theory. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas taylor rule swap curve government bonds Málek, Jiří, 1953- mzk2003181803 ths Kodera, Jan jx20050428029 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/37610/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/37610 Hlavní práce https://isis.vse.cz/zp/37610/posudek/oponent/28133 Oponentura https://isis.vse.cz/zp/37610/posudek/oponent/28134 Oponentura http://isis.vse.cz/zp/86568/podrobnosti dc:identifier NEPOSILAT VSKP 86568 vse37610 120918