03306ntm a22005657a 4500 000225755 CZ-PrVSE 20120922103426.0 m d cr n|||||||||| 120922s2012 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Štork, Zbyněk ISIS:38216 dis Term Structure of Interest Rates : Macro-Finance Approach eng Term Structure of Interest Rates [elektronický zdroj] : Macro-Finance Approach / Zbyněk Štork 2012 ?? s. : digital, PDF soubor Vedoucí práce: Martin Mandel Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2012 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2012 Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage assumption. The Thesis shows a possible way of consistent derivation of structural macro-finance model, with reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The paper also presents a brief comparison and shows an ability of both models to fit an average yield curve observed from the data. Lastly, the importance of term structure analysis is demonstrated using case of Central Bank deciding about policy rate and Government conducting debt management. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas impulse response functions dynamic stochastic general equilibrium model yield curve calibration of DSGE model pricing kernel price of risk term premia solution of a DSGE model New Keynesian macroeconomics Mandel, Martin, 1962- jn20010309508 ths Kodera, Jan jx20050428029 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/38270/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/38270 Hlavní práce https://isis.vse.cz/zp/38270/posudek/oponent/28051 Oponentura https://isis.vse.cz/zp/38270/posudek/oponent/28052 Oponentura http://isis.vse.cz/zp/86263/podrobnosti dc:identifier NEPOSILAT VSKP 86263 vse38270 120922