IMF paper finds macro-economy dominates behaviour of bond yield curve

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A recent International Monetary Fund working paper studies Czech government bonds and concludes that the macro-economy is always the dominant factor in determining bond yield movements.

Researched as part of a wider study into the macro-finance value-at-risk model compared with the standard yield-only VAR model, the study finds that persistent misalignments can be explained by existing empirical factors.

The author, Miroslav Koller, claims that it may also be possible to predict future movements

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