European Parliament Library

Yield Curve Dynamics and Spillovers in Central and Eastern European Countries, Willy Hoffmaister, Jorge Roldos, Anita Tuladhar

Abstract
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
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Background; A. Literature Review; B. Stylized Facts on CEE Countries; Figure 1. Euro Area and the Czech Republic: Median Yield Curve, 2000-08; Figure 2. Hungary and Poland: Median Yield Curve, 2000-08; III. Modeling the Yield Curve and Spillovers; A. The Nelson-Siegel Representation; B. Macro-Financial Linkages; C. Spillovers; IV. Empirical Results; A. The Estimated βi, t's and Macroeconomic Variables; Table 1. Correlation between the βi, t and Yield Curve
Language
eng
Literary Form
non fiction
Note
"February 2010."
Physical Description
1 online resource (70 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781452717760

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