Yield Curve Dynamics and Spillovers in Central and Eastern European Countries:
This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2010
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 10/51 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies. However, inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries-which tend to re-anchor expectations faster. Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves, while the curves slopes are more driven by idiosyncratic factors. Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries-and transmission is stronger after 2004 |
| Beschreibung: | 1 Online-Ressource (59 p) |
| ISBN: | 1451963327 9781451963328 |
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| index_date | 2024-07-03T20:13:27Z |
| indexdate | 2024-07-10T09:35:36Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Hoffmaister, Alexander W. Verfasser aut Yield Curve Dynamics and Spillovers in Central and Eastern European Countries Hoffmaister, Alexander W Washington, D.C International Monetary Fund 2010 1 Online-Ressource (59 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/51 This paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies. However, inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries-which tend to re-anchor expectations faster. Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves, while the curves slopes are more driven by idiosyncratic factors. Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries-and transmission is stronger after 2004 Online-Ausg Roldos, Jorge Sonstige oth Tuladhar, Anita Sonstige oth http://elibrary.imf.org/view/IMF001/10775-9781451963328/10775-9781451963328/10775-9781451963328.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Hoffmaister, Alexander W. Yield Curve Dynamics and Spillovers in Central and Eastern European Countries |
| title | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries |
| title_auth | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries |
| title_exact_search | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries |
| title_exact_search_txtP | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries |
| title_full | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries Hoffmaister, Alexander W |
| title_fullStr | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries Hoffmaister, Alexander W |
| title_full_unstemmed | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries Hoffmaister, Alexander W |
| title_short | Yield Curve Dynamics and Spillovers in Central and Eastern European Countries |
| title_sort | yield curve dynamics and spillovers in central and eastern european countries |
| url | http://elibrary.imf.org/view/IMF001/10775-9781451963328/10775-9781451963328/10775-9781451963328.xml |
| work_keys_str_mv | AT hoffmaisteralexanderw yieldcurvedynamicsandspilloversincentralandeasterneuropeancountries AT roldosjorge yieldcurvedynamicsandspilloversincentralandeasterneuropeancountries AT tuladharanita yieldcurvedynamicsandspilloversincentralandeasterneuropeancountries |