Bezrizikové výnosové křivky eura a české koruny

The bachelor thesis focuses on the risk-free interest rate in both its theoretical form and its real-life approximation methods. Risk-free yield curves for the Euro and the Czech crown are constructed using multiple methods necessary including interpolating missing maturities with the Nelson-Siegel and Svensson models and bootstrapping zero-coupon rates. Expected inflation is subtracted to analyse real rate parity theory and a 1,5% premium on the Czech crown is discovered. Further testing by unit root test including ADF, KPSS and Kapetanios tests and by linear regression on a historical sample is conducted to determine the validity of real rate parity. A weak form of parity is found for 1 and 2-year maturities with a new premium emerging through recent macroeconomic events. Parity of 3-year rates is rejected. The discovered premium is therefore concluded to be a systematic phenomenon.