Bond yield analysis

This diploma thesis deals with bond yields and their term structure. The main goal is to evaluate the impact of various factors and crises on the principal components of bond yields of the government bonds of Czech republic and United states of America. The linear regression models are created using the EViews 12 software. Their estimation output shows a statistically significant positive impact of the interbank interest rate and the price of the stock index, both at their first difference, on the difference of the level component of the term structure in both economies. All models show statistical insignificance of the relative output gap. Out of all considered critical periods, the financial crisis and the COVID-19 crisis have a significant impact on both economies. The begining and the end of the financial crisis have a cognate effect on both economies, only with a delay in the case of Czech republic. The end of the coronavirus crisis then has a negative effect on the difference of level of czech government bonds, as opposed to positive effect on the USA case. This disparity can be viewed as an opportunity to examine the comaprison between these two economies in regards to the development of their stock market. Further interpretation of the estimation outcome, as well as further comparison of czech and american bond yields can be found it the conclusion of this thesis. Also, the limitations of this thesis and recommendations for further research can be found in the conclusion.