{"id":"https://openalex.org/W2803323765","doi":null,"title":"Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve","display_name":"Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve","publication_year":2017,"publication_date":"2017-12-01","ids":{"openalex":"https://openalex.org/W2803323765","mag":"2803323765"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:cnb:wpaper:2017/12","doi":null,"is_oa":false,"landing_page_url":"https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2017_12.pdf","pdf_url":"https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2017_12.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://invenio.nusl.cz/record/410279/files/cnbwp_2017_12.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5013215271","display_name":"Adam Ku\u010dera","orcid":"https://orcid.org/0000-0002-3954-0552","observed_orcids":["https://orcid.org/0000-0002-3954-0552"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Adam Ku\u010dera","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-3954-0552","affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084970131","display_name":"Michal Dvo\u0159\u00e1k","orcid":"https://orcid.org/0000-0002-6083-2269","observed_orcids":["https://orcid.org/0000-0002-6083-2269"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michal Dvo\u0159\u00e1k","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-6083-2269","affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5075014311","display_name":"Lubo\u0161 Kom\u00e1rek","orcid":"https://orcid.org/0000-0002-7877-0844","observed_orcids":["https://orcid.org/0000-0002-7877-0844"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Lubo\u0161 Kom\u00e1rek","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-7877-0844","affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5020156730","display_name":"Zlatu\u0161e Kom\u00e1rkov\u00e1","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Zlatu\u0161e Kom\u00e1rkov\u00e1","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8773999810218811,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8773999810218811,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.03240000084042549,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.020099999383091927,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/yield-curve-decomposition","display_name":"yield curve decomposition","score":0.8050000071525574},{"id":"https://openalex.org/keywords/term-structure-of-interest-rates","display_name":"term structure of interest rates","score":0.8830000162124634},{"id":"https://openalex.org/keywords/macroeconomic-expectations","display_name":"macroeconomic expectations","score":0.7440000176429749},{"id":"https://openalex.org/keywords/risk-preferences","display_name":"risk preferences","score":0.5440000295639038},{"id":"https://openalex.org/keywords/czech-national-bank","display_name":"Czech National Bank","score":0.8529999852180481},{"id":"https://openalex.org/keywords/vector-autoregression","display_name":"vector autoregression","score":0.6710000038146973}],"concepts":[{"id":"https://openalex.org/C176230804","wikidata":"https://www.wikidata.org/wiki/Q205257","display_name":"Yield curve","level":3,"score":0.8671095371246338},{"id":"https://openalex.org/C2780389337","wikidata":"https://www.wikidata.org/wiki/Q2324820","display_name":"Government bond","level":3,"score":0.6353702545166016},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6351015567779541},{"id":"https://openalex.org/C134121241","wikidata":"https://www.wikidata.org/wiki/Q899301","display_name":"Yield (engineering)","level":2,"score":0.6129010319709778},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6109638214111328},{"id":"https://openalex.org/C2777842544","wikidata":"https://www.wikidata.org/wiki/Q9056","display_name":"Czech","level":2,"score":0.5940267443656921},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5823382139205933},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.5477957725524902},{"id":"https://openalex.org/C2778137410","wikidata":"https://www.wikidata.org/wiki/Q2732820","display_name":"Government (linguistics)","level":2,"score":0.5107958316802979},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.49933910369873047},{"id":"https://openalex.org/C89715816","wikidata":"https://www.wikidata.org/wiki/Q7915763","display_name":"Variance decomposition of forecast errors","level":2,"score":0.48886173963546753},{"id":"https://openalex.org/C124681953","wikidata":"https://www.wikidata.org/wiki/Q339062","display_name":"Decomposition","level":2,"score":0.4772465229034424},{"id":"https://openalex.org/C133029050","wikidata":"https://www.wikidata.org/wiki/Q385593","display_name":"Vector autoregression","level":2,"score":0.4528322219848633},{"id":"https://openalex.org/C2779467348","wikidata":"https://www.wikidata.org/wiki/Q6579042","display_name":"National bank","level":2,"score":0.4488964378833771},{"id":"https://openalex.org/C166955791","wikidata":"https://www.wikidata.org/wiki/Q629579","display_name":"Macro","level":2,"score":0.4362673759460449},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.39190971851348877},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3906751573085785},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.386145681142807},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.355705201625824},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.17457029223442078},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.11630573868751526},{"id":"https://openalex.org/C191897082","wikidata":"https://www.wikidata.org/wiki/Q11467","display_name":"Metallurgy","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"pmh:oai:RePEc:cnb:wpaper:2017/12","doi":null,"is_oa":false,"landing_page_url":"https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2017_12.pdf","pdf_url":"https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2017_12.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:invenio.nusl.cz:410279","doi":null,"is_oa":true,"landing_page_url":"http://www.nusl.cz/ntk/nusl-410279","pdf_url":"https://invenio.nusl.cz/record/410279/files/cnbwp_2017_12.pdf","source":{"id":"https://openalex.org/S4306402266","display_name":"Digital Repository (National Repository of Grey Literature)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I79620101","host_organization_name":"University of Arkansas for Medical Sciences","host_organization_lineage":["https://openalex.org/I79620101"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/other"},{"id":"mag:2803323765","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:cnb:wpaper:2017/12","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null}],"best_oa_location":{"id":"pmh:oai:invenio.nusl.cz:410279","doi":null,"is_oa":true,"landing_page_url":"http://www.nusl.cz/ntk/nusl-410279","pdf_url":"https://invenio.nusl.cz/record/410279/files/cnbwp_2017_12.pdf","source":{"id":"https://openalex.org/S4306402266","display_name":"Digital Repository (National Repository of Grey Literature)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I79620101","host_organization_name":"University of Arkansas for Medical Sciences","host_organization_lineage":["https://openalex.org/I79620101"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/other"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2803323765.pdf","grobid_xml":"https://content.openalex.org/works/W2803323765.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W3001501461","https://openalex.org/W2898761817","https://openalex.org/W3088401122","https://openalex.org/W7135498347","https://openalex.org/W2254886297","https://openalex.org/W1605913557","https://openalex.org/W1144731263","https://openalex.org/W2154618798","https://openalex.org/W3122939250","https://openalex.org/W2800142985"],"abstract_inverted_index":{"The":[0,53,71],"term":[1],"structure":[2],"of":[3,9,43,55,74,83],"yields":[4],"is":[5,58,95],"an":[6],"important":[7],"source":[8],"information":[10],"on":[11],"market":[12],"expectations":[13],"about":[14],"future":[15],"macroeconomic":[16,91],"developments":[17],"and":[18,22,79,92],"investors'":[19],"risk":[20],"perceptions":[21],"preferences.":[23],"This":[24],"paper":[25],"presents":[26],"the":[27,31,41,44,63,75,81,84],"methodology":[28],"used":[29],"by":[30,68],"Czech":[32,45,85],"National":[33],"Bank":[34],"to":[35,62,90],"obtain":[36],"such":[37],"information.":[38],"It":[39],"describes":[40],"decomposition":[42,76],"government":[46,86],"bond":[47,87],"yield":[48,88],"curve":[49,89],"into":[50],"its":[51],"components.":[52],"evolution":[54],"those":[56],"components":[57],"interpreted":[59],"in":[60,77],"relation":[61],"macro-financial":[64],"environment,":[65],"as":[66],"embodied":[67],"selected":[69],"variables.":[70],"practical":[72],"use":[73],"estimating":[78],"interpreting":[80],"responses":[82],"financial":[93],"shocks":[94],"presented":[96],"using":[97],"a":[98],"vector":[99],"autoregression":[100],"model.":[101]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2018-06-01T00:00:00"}