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

Label
Yield Curve Dynamics and Spillovers in Central and Eastern European Countries, Willy Hoffmaister, Jorge Roldos, Anita Tuladhar
Language
eng
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
Bibliography note
Includes bibliographical references
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
Yield Curve Dynamics and Spillovers in Central and Eastern European Countries
Nature of contents
dictionaries
Oclc number
867926811
Responsibility statement
Willy Hoffmaister, Jorge Roldos, Anita Tuladhar
Series statement
IMF Working Papers
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 CurveTable 2. Descriptive Statistics for the Estimated Nelson-Siegel FactorsTable 3. Correlation between βi, t and Macroeconomic Variables; B. Macro-Financial Linkages; Impulse Responses: Macro Shocks on Yield Curves; Figure 3. Central European Countries: Generalized Impulse Response of; Figure 4. Central European Countries: Impulse Response of Yield; Impulse Responses: Yield Factor Shocks on Yield Curves; Impulse Responses: Yield Shocks on Macro Variables; Figure 5. Response of Macroeconomic Variables to Shocks to β1, 2000-08; Figure 6. Response of Macroeconomic Variables to Shocks to β2, 2000-08Figure 7. Response of Macroeconomic Variables to Shocks to β3, 2000-08Figure 8. CEEC Yield Curve Factors and the Euro Area Yield Curve Factors and; C. Cross-Border Spillovers; Regional and Global Components of the Yield Curve; Table 4. Principal Components of Yield Factors; Table 5. Correlation of the Yield Factors Between CEC-3 and International Factors; VAR Model; Table 6. Residual Variance-Correlation Matrix, 2000-08; Impulse Responses; Euro Area Shocks; CEE Country Shocks; Table 7. Variance Decomposition by:; V. Event Study: Poland's Euro Adoption AnnouncementFigure 9. Impulse Response of Yield Curves to βieuro-ShocksFigure 10. Impulse Response of Yield Curves to βiCZE-Shocks; Figure 11. Impulse Response of Yield Curves to βiHUN-Shocks; Figure 12. Impulse Response of Yield Curves to βiPOL-Shocks; NS βi Shocks; Potential Macro Effects; Table 8. Shock Scenario for Poland's Euro Adoption Announcement; Figure 13. Central and Eastern European Yield Curves and their Movements; Spillover Effects from Poland's Euro Adoption Announcement; Figure 14. Poland: Macroeconomic Effects of Yield Curve Shocks in ResponseFigure 15. Czech Republic and Hungary Spillover Effects of Yield Curve Shocks onVI. Conclusions; Appendix I. Main Developments and Monetary Policy Decisions in the CEE Countries; Appendix II. The Generalized Vector Autoregression; Appendix III. Estimating the Nelson Siegel Beta; A. Estimating the Nelson-Siegel Representation; Table A1. Descriptive Statistics of the Yield Curve Residuals; Figure F1. CEEC's: Maximum and Minimum Yield Curve Residuals, 2000-2008; Figure F2. Euro Area and CECs: Level Factor (β1t) and Long-Term YieldsFigure F3. Euro Area and CECs: Slope Factor (β2t) and Slope of the Yield Curve
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